This is a longstanding issue. Shadow file processing seems to be designed as a compromise between not wanting users to have to wait until they're finished to start editing, and using so many resources that their creation slows down editing.
There is no user control to set them as a priority, but that's something you can request using Rate Us & Provide Suggestions under PD's File menu.
There are other methods of getting easy-to-edit versions of clips into PD, and this
thread leads to a discussion of them.
You can also manually create low res versions of your main clips upfront using PD or Handbrake or VirtualDub2 and do the normal editing with PD. When you're ready to produce, close PD and swap out the low res versions in the folder with the identically-named original clips and let PD produce the project at full quality.