You must be female.

Lol. It always bothered me that Shadowmere was obviously male in Oblivion, and Lucien was just a clueless putz who called him 'she'... Glad Beth fixed that oversight for Skyrim.

This.
Many people have lost him because they can't find that spot.

I'm a bit nervous every time I emerge from a dungeon that some random encounter has killed him.

As much as I'm a horsey person in RL, Shadowmere annoys me and I wish he would just go away. I miss the first person riding animation, and better riding style from Oblivion. Oddly, it's the thing I miss most from Oblivion. I don't fast travel very much when doing stuff I'm absorbed in, so Shadowmere mostly stays in the stables at Riften, thankfully.
There's also another way to pull Shadowmere to you using the console, but I think moving the player to him might work better.