A while back, I ran SL GWW with some friends. Two of them had already done so but the third as well as I hadn't. Note that he was the one who purchased and used the key. When we were done, he had gotten SL2 clearance but I had not. Was I supposed to get it? Did something go wrong? Here's screenie proof that I have been there. Note the echo stone.
I'm a bit worried as I'm running Ice Queen's Palace sometime soon. Will I even be able to enter without the Shadow Lair 2 clearance?
Yes. As long as your party has a key, only one person in your party actually needs the clearance level to go that shadow lair.