I've been having similar issues, to shade or not to shade.
As you mentioned, shading can help show volume, thus sexiness. And can help add a bit more detail or realism. Cartoons like Kim Possible usually aren't shaded, but in movies they would shade a bit and you can kinda notice something looks better, but can't put your finger on it.
To not shade can help avoid issues with shading. Besides time and energy, there are a few other issues with shading, at least from what I've experienced. Unless you do a really good job, shading can kinda look cheesy or make a nice final line look like a dumb drawing. I contribute this to my personal hypotheses related to the uncanny valley. The idea is, the more you try to realistic, the less room you have for error. if you polish a piece, the remaining issues then become noticeable after the more noticeable issues have been removed, but as you get closer to perfect, the issues that persist lead the art to look more disturbing than just being small issues, hence less room to work because small mistakes have a bigger impact down the line.
If I want shading, the best I can do is stick to 3D models. As for 2D, I've tried to explore it and numerous ways to avoid things that trigger my perfectionist habit. Even going as far as to consider doing monochrome, no shading, so I don't have to worry about perfecting the skin tone (ie how red to yellow, saturated, or value (HSV) it is) and avoid trying to focus on too much detail with shading. I've even recently done a more larger exploration of comic book shading techniques to see if anything helps, from simple to more complex. I still don't have a conclusion, since at this point it is a matter of me being able to shade good or not to determine if any technique is even viable.
The main thing I look for is readability, how easy it is to look at an image and understand what you are looking at. That very first picture here I think is the ideal. I see it, and I instantly understand what I am looking at, and can even be more in-depth as I feel I can read a certain Vibe of this character, by her pose, her face and expression, and the clothes used. The shading I do think helps (mainly, helps make the hair look interesting, and make the sleeves on the arm not look skin tight without needing to add a tone of details), but it can also become too detailed as well (ie to many small shadows lead to information overload) which I kinda detect with the drawing from yesterday.
You could try coloring and shading the first drawing, since I think it is the most expressive. The one you did yestarday, I actually have a hard time getting a read on the character (Her pose doesn't seem to be significant nor comunicates anything, little to no expression to hint at her personality, but the clothes are good). The only issue I see with shading is the pants look detailed while the cans (grenades?) look rather flat, but I can see you tried to shade them but they still look flat. The pants and cans look much more readable in the non shaded or flat color version because they are not overdetailed by the shading, and without shadows they don't mix together and lose their detail (as all the colors get closer to black due to how shading tends to work). The shirt is kinda better to read with shading than just flat colors, but I feel that its because the colors or the pattern was too extreme, the original drawing of just monochromo I feel it is the easiest to read, focusing more on the line work with gentle shading. For me the monochrome shading with a bit of shading applied looks best, but I can understand why you want to add color, and then shading. So its up to you on how far you want to go with each piece, but for me, eithere monochrome works or flat colors. I'm still trying to figure out what conditions are needed for flat color and shading work together, so far I can only find simpler looking comic art where it looks alright, and I think that is because of the simplicity and not being too detailed.