She very clearly says that she needs the spear before entering the Shadowfell. Therefore, you can't get it later, because she needs it NOW. She will threaten you if you try to go in without it and you have to actively choose the "I'll fight you if you complain" dialogue, if I recall correctly. You could've just gone back and.. gotten her the spear. Or don't, and face the consequences.
It would be bad writing if she stayed with you after. Sure, she likes you at that point, but she just got a direct order from her goddess. You know, the one she's been talking about all game. And while she already has her doubts thanks to you, she's not willing to give up on Shar just yet. 10 minutes, one area and a little bit of trust later and you'd have gotten her full devotion.
The Shadowfell progresses the story past act 2. You're basically entering to act 3. So what you did is the equivalent of walking into act 2 before finishing act 1, which won't end well either for some quests. Be my guest, try it out. Lae'zel won't be happy and the tieflings.. well they won't even be able to complain anymore.
