Exactly that. It's in the second season, I think it's when the Hyperspace-building ship visits the station (with Captain Maynard? it's years since I saw the show last) who tells Sheridan that. Sheridan asks if Maynard has seen any "strange" things in hyperspace, and Maynard replies with what Lien tells Elan.
If I remember correctly, it's the first time someone who has actually seen shadows talks about it to the main characters (plot exposition!)
(Just that a "caption" is actually a captain )
Ser Ilyn, Ser Meryn, Queen Cersei, King Joffrey, The Tickler, The Hound, Ser Amory, Polliver, Raff the Sweetling, Weese, Dunsen, Nale, Ser Gregor Clegane and Chiswyck: Winter is coming!