A shadow roll is also called a sheepskin noseband, although many are now synthetic.
Shadow rolls are most often used in racing, and their purpose is to prevent the horse from seeing shadows on the ground, especially on dirt track. A horse will sometimes jump a shadow, causing it to lose ground in the race (I've seen horses lose major races this way).
They are also sometimes seen in eventing and show jumping, where they are used to encourage a horse to lower its head in order to see the jump, or for the same reason as in racing - to stop them jumping things on the ground that don't actually exist.
This racehorse is wearing a (probably synthetic) shadow roll. Image source Maryland GovPics via WIkimedia Commons.