It really depends on color of light illuminating shadows and on filter factor for this light.
For instance I tested my red filter and its filter factor for red light is -1 stop, for blue light -4 stop and for white light -3 stop (general factor, the same is given by filter manufacturer). It means that under blue sky, shadows placed to zone III with only general filter factor in mind would fall lower - but not under sky with a lot of white clouds.
The same happens with orange or yellow filter.