When I first learned astrology Mercury (or any retrograding planet did not have a shadow period.

I lean towards Jyotish astrologers view of retrograding planets: because the retrograde planet (an optical illusion btw) is as close to Earth as it will get and therefore we humans will experience greater intensity of the planets attributes. But that doesn't necessarily mean the energies will turn inward as Western Astrologers believe. It mean we can jump into the intensity, go inward and/or observe ourselves from a compassion neutral observer within.

Also lately I've been exploring Heliocentric Astrology where there are no retrogrades at all.

Your Retrograde advice is good at any time and shows excellent insight. There's a bevy of planets coming out of retrograde in October including Pluto which will be at station-keeping for 13 days that could be an influence in our transformational experiences. Yes? No? Maybe?