I'm sorry for it, I never played Dimensions (sadly) but I know that to play in Tag can be pretty frustrating tied to the way how the mode is played =(
PS: To be fair I'm not sure if maybe to beat Tag Challenge is needed for being able to use Shiden through the secret code, but maybe it's only necessary to unlock before all the characters and stop.
nope. you beat stage 6 of arcade over and over until you unlock the bosses. then you hold X, Y, L and R on random select and Presto: you're playing as Shiden!
but he sucks he's basically a slow version of Hayate