I never understood what ambient lighting was, is it supposed to do this and doesn't? It seems to just affect things the same way as direct light, so it's just the two lights combined.
Ambient is the general lighting/dark side of objects, direct light is the side lit by the sun, which is why if you make the direct light black, you're just left with the ambient light, that you could even make white if you want everything to look un-lit
Shadow color controls only the coloring of the shadows, so there's absolutely 0 changes to the scenery if you don't have shaders enabled