The biggest challenge is that there's an abundance of SaaS tools that are free to use or have extensive free trials. This often lures employee's in "just trying" a platform and ending up importing critical company data.
Slack and Loom are great examples of SaaS that profited from being "Shadow IT". They gained traction by employee's quickly self-onboarding onto the free-plan, without their IT or Security knowing what data is being shared.