I couldn't help but feel that the concept of the shadow monster was out of place compared to the other stuff in the show. They took the effort to explain how the other creatures were fairly analogous to animals in our world, and even though the MKUltra stuff may not have produced actual psychics/telekenetics, that had some loose basis in reality as well. I don't know...something just felt off about it.
Something that's completely irrelevant that bugged me whenever they showed one of those transition scenes: How do things appear in the upside down? Like...does a building need to be completed before it shows up there (to then start looking like it's decaying), or do objects just pop into existence as they're being constructed in our world?