Well, first off, they will use more shadows, so your question is premature.
Not quite sure if that should be in a spoiler tag or not.
I assume this is a question regarding the TV-show, and not the books.
Secondly, the shadows are costly to summon.
Later on in the books, it is mentioned that Stannis seems drained and skeletal, and there are also other references, which I will not post here for their very spolerific nature.
But suffice to say, it concerns people getting hurt to fuel Melisandre's magic.
Also, as we shall see, the shadows will not help Stannis as much as he would hope, because the majority of the lords and people are against him.
So, combined with their high cost, they do not provide a real answer to his problems.
Besides those reasons, I think Stannis is a good guy, deep down inside.
At first, I did not like him at all, but throughout the books, he is solid, honourable, harsh and grumpy, and it is hard not to like him when he scorns and scolds his sycophants, but praises Davos for telling the truth.
All he does, he does for a reason, not for personal greed or ambition, but because it is right and just.
Yes, I admit, I am a bit of a fan of Stannis.
So, I am siding with Andres F and also saying that Stannis is not quite comfortable with it.
He admits at one point that it is better to kill one man dishonourably, than to allow thousands to suffer, but I think it does not sit well with him just the same.
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Not sure if it's the only reason, but Stannis isn't completely comfortable about it.
At least in the books, he is never completely comfortable about the whole Lord of Light deal, or Melisandre; his queen is way more fanatical about this exotic religion.
I think Stannis sees himself as a harsh but fundamentally honorable man (we the readers may disagree with him, though!), and internally he acknowledges the shadow babies are an underhanded tactic.
He does use them more than once in the books, though.
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In part, Stannis doesn't even believe the shadow monster really works!
If I remember it properly, he awakes shaken, feverish and ill and tells Davos he dreamed about being in Renly's tent and killing him, but that it MUST have being a dream.
It must, right?
In the books, Stannis is not exactly greedy.
He is unhappy, a man who saw his titles and inheritances stolen by Robert to be put in his brother Renly, despite his loyalty, for one single reason: being boring!
That, my friend is a grudge and self-esteem issues...
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Because Stannis was too weak.
Mellisandre explains in S3E3, Walk of Punishment .
Stannis: Make me another son.
Melisandre: I cannot.
Stannis:
Why? Melisandre: You don't have the strength.
It would kill you.
Stannis: I'm not so easily killed.
Men have been trying for years.
I want you.
Melisandre: Your fires burn low, my king.
There is another way.
A better way.
Stannis
: You told me your magic requires a king's blood.
Melisandre:
Yes.
Stannis: I'm the one true king.
Melisandre: You are.
But there are others with your blood in their veins.
You will sit on the Iron Throne, but first there must be sacrifices.
The Lord of Light demands it.
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Melisandre worships R'hollor and uses blood magic.
it does not require "sacrifice" in the sense that someone has to die for a positive outcome.
The sacrifice is blood, most potently, royal blood.
This is why Melisandre and Stannis resort to leeching Edric Storm, bastard of Robert and Stannis' nephew.
The death of Edric is not required, only his blood
but it is believed if he were killed during rites that the magic would increase in strength.
These leeches full of Edric's blood are tossed into the fire during a magic ceremony and a name is to be recited when the royal blood burns.
3 leeches burned, 3 names recited and 3 deaths in a Storm of Swords.
So it appears that even small amounts of royal blood are potent enough to cause death.
hope this helps.
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They could make hundreds if they wanted, but Stannis did not have enough "life", if they made any again Stannis would die.
The magic requires a percentage of a man's life, shall we say 40% of his life gets drained, and I think Stannis at his current age has a percentage of 80% judging by his age.
Some of Melisandre's skill set consist of "blood rituals" such as sacrificing 3 leeches that have the blood of the King that ended the life of Joffrey, Robb and Lord Frey.
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Melisandre (the fire priestess) and Stannis used a shadow monster to    kill Renly Baratheon.   The creature is seemingly a very effective assassin. So why don't they create more of them (or make the one that already exists) kill other of enemies Stannis' like King Joffrey?
Why don't Melisandre and Stannis create more shadow monsters?
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Although unsure that this is the  only  reason, but Stannis isn't completely comfortable about it. In part, Stannis doesn't even believe the shadow monster really works!  They could make hundreds if they wanted, but Stannis did not have enough "life", and if they made any again Stannis would die. Stannis doesn’t believe the monster even works so lack of confidence prevents him from creating more.
Stannis doesn’t believe the monster even works so lack of confidence prevents him from creating more.