Is there a reason to use Shadow instead of Application for the example?

No, you can use whatever you like to work with dependencies. It's just one example that you can grab and start playing with the API, if you want to skip sorting out the dependencies.

In gradle it is usually better to use Application instead, but difference is not so great.

Why you don’t use a scala binary version as a postfix of artifact name?

@Sergey Morgunov because at the moment only 2.12 is supported. once other versions are supported, then, of course, postfix will be appropriate.