That's one of those spells you need to chat with your DM about to see how he will rule things, but in general...
For most beneficial spells, the fact that it isn't fully real doesn't much matter - you can voluntarily give up a Will save, and if you fail the will save, the spell has it's full normal effect (so you can ride that Phantom Steed you emulated, no problem - just tell anyone you're conjouring it for not to examine it too closely, and hope they follow orders). For some, though, the DM has to make a few choices (E.g., Mage Armor - does the attack get to make a will save for a chance to ignore that +4 Armor bonus to AC, or just the one getting the Armor?).
For battlefield control spells (such as Obscuring Mist) your DM basically has to make the same call he does with any other illusion that permits a save - what constitutes "interaction" (does an archer sitting outside the fog cloud get a save when looking to see if he can spot a target? Just the people inside? Does the sight-blocking effect qualify as a non-damaging effect so that the friendly archers inside the cloud have a good chance (80%, assuming they make the save with the bonus for you telling them it's a fake cloud) or does the aspect that the shadow material is in the way have the same effect completely regardless of whether it's recognized or not?)
But even with some of the harsher rulings, the Shadow line of spells rocks for a Sorceror.