Actually I think it does.
The turn on which you gain concealment is the turn in which you move three squares. There is no room in the definition for a 1-turn delay between the moving and the concealment. And since the concealment cannot occur until you have created it by moving 3 squares, it must happen either at the 3rd square of movement (in mid-move), or at the end of the move action in which you moved 3 or more squares. In either case, a stealth check at the end (as part of the move action) would seem to be in perfect order.
Seattle person here agreeing with you - mostly.
I think there are instances when a stealth check during movement should be allowed. VK (or someone else) posed the example of a stealther not beginning in concealment, moving through concealment and ending out of concealment.
So - possible to stealth while moving through the concealment squares? If stealth is part of an action, then yes.
RAW, it seems to me that Shadow Walk's concealment occurs as soon as the 3rd square is entered.
The timing is important because it will determine if the warlock can stealth as part of her movment (after the 3rd square) or whether she will need to take another action to use stealth to hide.
I think she can use any movement after the 3rd square to hide, but I don't expect that to be the universal interpretation.
If I was only worried about the table I run, I wouldn't have to split hairs with everyone here

But if I want to play Living Forgotten Realms, I'm gonna have to care what the consensus opinion is - or at least what the RPGA opinion will be.
That reading of the ability leaves open the possibility of moving 3 squares, gaining concealment, and moving back.