Evasion works with a "roll" system. Each attack generates a hitroll, which is then added up against your evasion. When the hitroll number finally goes over your evasion, you're struck by the attack, and the hitroll number resets. For some reason, they still express this as a percentage to dodge, when it's not probability based at all.
In addition, evasion will not help you at all once an attack penetrates. It is very much possible to be one-shot by bosses such as Brutus, ESPECIALLY on the higher difficulties. For these reasons, I find it very difficult to recommend pure evasion for a non-Ranger in solo play. In group play, you can have someone else taking the brunt of the damage.
I don't have much experience regarding energy shield, but I do know that it bleeds through on attacks that deplete it. That is to say, if you have 50 ES and get hit for 100, 50 damage will bleed through and strike your health directly. It seems to be nothing more than an addition to your existing health pool. Beyond that, I can't really comment.
Regarding armor: All forms of armor-granting gear have a strength requirement. It is possible to increase your strength on the passive skill tree, but given the Shadow's starting position on the tree, doing so would make your build less efficient on the higher difficulties. Armor offers a straight damage reduction, though, so if you're going to be struck by something, armor is the one value that will actually reduce the amount of incoming damage.
If you feel the need to go for armor, I would highly suggest ditching the Shadow, as its starting position on the skill tree makes it difficult to pursue STR boosts without damaging the character's long-term sustainability. Given that you like to play a ranged style, I would recommend rolling up a Duelist and working on a ranged build, as the Duelist's starting location is ideal for mixing DEX and STR (being a hybrid class of the two stats).
If you decide not to go down that route (understandable), I would just maximize evasion and not worry about Energy Shield at all. As such, Dexterity would be the best stat to focus on. If you've got a lot of blue skill gems you want to keep around, taking a couple of INT nodes on the skill tree would allow you to keep using them without overly damaging your long-term viability.
To answer your final question: Marauders can be DPS oriented or tank oriented. It all depends on how you want to play. Neither build is inherently advantageous.