The shadow is the true self. There's no denying that their shadows represent a part of them they dont want people to see
I'm under the impression it's more of an exaggeration due to their fear of their true self. Like look at how Rise's shadow is a turboslut or Chie's is a dominatrix that uses people. They're obviously not like that but they're afraid of being perceived as that. Same with Kanji. It doesn't confirm or deny he's gay, it's his fear that the shadow takes the form of. That's why it's such a huge exaggeration of his possibly gay self.
In the end, I think he's either confused or bi, but he accepts that he might be confused or bi and is okay with that >_>
Yea, at the end of the day, I think they left it ambiguous on purpose. ---