There is pain, but there is anger, and that was the thing about Shadow. The thing he knew about himself. Kindness was a choice. Care was a choice. To consider his affect on others was always a thing he had to choose.

And it was so much easier to just not care and Clef needed to understand that.

And pain over Zagato was not a surprise. Betrayal was often like that.

Of course he never had to kidnap Link. He had just to get Link to believe he was real. That's the danger of impostors.