Shadowheart: I do actually sort of wish that Shadowheart started with a more generic set of armor. As has been said, she's supposed to be on a secret mission, but is literally wearing a symbol of her faith on her chest. A symbol that you see in the Grymforge temple of Shar in many places. Noticeably slapped on the front of the Dark Justiciar armor. You would think that clerics of gods like Selune, Lathander, and of course Shar would have some familiarity with that symbol. It does seem a bit funny her sect would go to the trouble of erasing her memories, but not giving her a different outfit when he current one literally screams "I worship Shar!"
Also while unique looking, her starting armor is crap anyway. Why give a character a cool unique look when the player replaces it ASAP? I think it would be better if she started in more generic cleric garb and instead you get a quest to unlock her unique armor look if you quest with her in the temple of Shar/Grymforge (after you know her secret). There is a piece of dark justiciar armor you can loot. Ideally Larian could create a small cutscene where you give it to her or she recognizes and takes it.

Astarion: It actually kind of makes sense to me you don't recognize him as a vampire spawn right away even if you had some familiarity with the creatures. The tadpole changes all the rules for Vampirism. Kind of hard to accuse a dude of being a vampire when you first meet him under a very bright sun. He then has no problem crossing water or entering homes uninvited. Even if there are some vampire flags I feel like the oddities would give enough cover to throw suspicion for a little bit.

Wyll: Actually if you play as a warlock when you first meet Wyll and briefly meld minds (seeing Mizora) you can make some special comments about it being his patron. Warlocks can also comment on his eye being a sending stone. Though Wyll dodges these and doesn't really engage.

Also side note, I know clerics of Selune and Shar get special dialogue with Shadowheart, but do Lathander clerics? The morning lord and the night mistress don't exactly like each other. I'm also curious if Clerics of Lathander get any special interactions with the Lethander worshipper trapped in the amulet in Grymforge. He was one of the more recent god additions (patch 8 I think) so it wouldn't surprise me if there weren't any though there should be.