Does Xaros Home abilit work on Shadow attachments? I guess not since you dont play them from your hand right?

Right, you're bringing it out from shadows. No extra card for you

And what happens if someone cancels the Response: on Dragon Skull?

Attached character gets -2 STR and is killed if its STR is 0.

Response: After Dragon Skull comes out of Shadows, attach it to an opponent's character or discard it from play.

There is some potential for debate on that, but most people will tell you the attachment is discarded without ever making it onto a character.