Having 'worked' in 'Shades' in my time, I do seem to recall both albums being anticipated on CD, especially the Dark Star as it was advertised, but only ever remember having them on vinyl personally.
These were released in an era when CDs were still fairly 'new' to the UK market and some confusion does arise over what was and wasn't issued on CD. I'm sure both were released on CD though.
Unfortunately I cannot give you any more info than that.
With regards to Tall Stories, a second album was never recorded although demos were. I have a tape of around three songs from 1995 that was touted around a few record companies at the time but there were, surprisingly, no takers. The material is a tad more contemporary (though not Grunge!) than the album, but still classy.
I believe a second Roxy Blue album was recorded but never released.