Apologies first off for the vagueness of this question but it's been a couple days since the game where this happened and I forget the full details.

We had a 4 player game, and I had three heroes and one ally. An enemy engaged me and I defended with the ally. The shadow effect revealed dealt damage to the ally and killed it. Is the attack still considered defended at that point? I want to think yes because I assigned a defender prior to that point but it was a question we couldn't find covered in the rules.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 

P. 18, bottom left: "If a defending character leaves play or is removed from combat before damage is assigned, the attack is considered undefended."

My guess is "yes you still defended because your character was dealt damage before it left play.

I think when the enemy wants to deal damage and there is noone to take the damage, the attack is undefended and the damage must put on a single hero.

As Titan already said it is right in the rulebook, the answer is no it is not considered defended.

If the shadow effect  was straight damage, and not an increase to the enemy's attack rating, then the ally is technically killed before the attack, and the attack would be considered undefended.