Not as a full product, no. There are a limited number of early ROMs available, and you can download betas.
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no in order to play as shadow you have to hack the game there is no possible way to unlock shadow PLUS! shadow wasnt even a thought back when sonic advance was made
You can play Sonic 3, or Sonic & Knuckles but unfortunately you cant play Sonic 3 & Knuckles on Sonic's Ultimate Genesis Collection.
But you can play metal sonic.
you can only play as super sonic when you fight the finalhazard.
Of course...the title is "Sonic the Hedgehog"...