You should be able to add Device Shadow and Device Registry data to your messages by leveraging the corresponding Pipeline Activities.
Your messages will first be placed in your Channel (without the Device Shadow and/or Device Registry data). If you Pipeline is defined with the DeviceRegistryEnrich Activity and/or the DeviceShadowEnrich Activity, when it executes, it will send to your Data Store a copy of your messages with the relevant data added.
The Pipeline Activities documentation includes examples of how a message would look like before (ie: in your Channel) and after (ie: in your Data Store) Pipeline processing for the DeviceRegistryEnrich Activity and the DeviceShadowEnrich Activity.
If you are creating your IoT-Analytics Channel through the IoT-Core console (ie: IoT > Act > Create Rule > and select an Action to 'Send a message to an IoT Analytics Channel'), the console will create a Channel to deliver your messages to, but no associated Pipeline and Data Store.
To create and manage Pipelines and Data Stores you can use the IoT-Analytics console (see AWS IoT Analytics Console Quickstart Guide ), or the CLI commands (see Getting Started with AWS IoT Analytics ).