First off, make them non-destructable. That much should be obvious. Also make them reasonably uncommon so there's not a flood of them.
Add a "key ring" to the knight's loadout with one ring position for each of the shadow levels. Once a key is equipped to a given keyring slot, it's bound there and cannot be moved to a different slot or traded with other players. Alternately just have 4 shadow key variants specific to the levels, with the same bind on equip deal.
Each key has its own energy tank with a capacity of, say, 750. This energy tank can either refill at roughly the regular mist rate (to refill in about 7 days), or can be filled supplementally filled with the knight's regular mist or CE. The key must be filled to full energy capacity to be used, and the energy stored in the key can, of course, only be used for the key activation.
This would achieve the following goals:
Cash shop players would still pay through the nose in CE to grind the levels more frequently.
F2P players would actually have a chance of seeing the content sometime before the heat death of the universe.
Entering a shadow level would still be a special occasion, not just "another trip to see vanny".
*Hugs Nicoya-Kitty* You sir, are awesome.