The four legendary items that you can obtain from the shadow world dungeon are "Morticia's Wrath", "Mildred's Greeting", "Astral Shadow Shield", and "Magic Shadow Amulet".
There is always a 50% chance to either get one of the epic equipment pieces or one of the legendary items until you have all four of them. I'm not aware of any problem with this, so you might really be just very unlucky, but if you or other keep havng that problem then please let me know.