You just have to keep pressing a, they do disappear sometimes. Think it depends on when the shadow spawned, they only hang around for a short while. Not sure there's anything you do do about that unfortunately
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like if you see some bubbles or a shadow but it's not the shape or movement you're looking for, if you don't bother trying to chase it it will just disappear after a few minutes. Think it just depends on how long it's been there