Unfortunately, not everyone can provide video proof.
Only cheat device I have used is the Genesis Game Genie, which I haven't used in years, and don't use when TA/RA/SAing.
My original thought on this matter was the fact that you can't be sure of what goes on all the time. I didn't think a Sonic-in-Radical-Highway would work.
I suppose another rules reference illustrates my point:
In accordance with the previous rule, the only character that may be used in a character-named division is the named character.
For those who weren't here/don't remember, this stemmed from problems involving the use of both Sonic and Tails in Sonic 2, where using Tails brought distinct advantages to the "Sonic" division. (Notably in Metropolis, with much-increased speed on screws.) This is a bit of a different situation, but the same general concept.
Sonic and Shadow are pretty much functionally equivalent, with 2 main differences. Firstly, Sonic has Magic Hands. Doesn't really do much of anything, but it's there.
The other one that has been mentioned already is the bounce attack, which, while not being present in this vid, does have an advantage. (Hopefully I don't need to reiterate that.)
That said, TSC does allow some things of similar nature to things that have a potential advantage that aren't used. You can use a controller with a turbo button as long as you don't use the feature; you can use an emulated console and a ROM as long as you don't use savestates, slowdowns, other TAS tricks, etc. And then, of course, there are the freestyle divisions for particularly abusive glitches.
Though my stand remains the same: Cheat devices are an explicit no-no, and there's the character/division rule as well. (Note the big differentiation in the rules: They say you can't use a cheat device period, whereas with Turbo and Savestates they just say you can't use the
feature. Device vs. feature is my big separation.)