You do not lose any health when falling / jumping from high places as wolf link. He always lands safe and sound on his paws and it's completly normal in any version of TP, be it GC, Wii or Wii U. And I also got the problem with the fused shadow models not loading after defeating one of the first three bosses of the game when running on loadiine. I think it's due to the slow loading speeds with SD Cards. While it looks odd the game still progresses completly normal and as was already stated, the fused shadow can be seen in your inventory screen. Another instance of this is if you are going as fast as you can on Epona in Hyrule Field while approaching one of the short loading zones, for example going from Hyrule Field to Kakariko Gorge. You will most likely hit an invisble wall. I always have to stop and take two steps back in order for the invisible wall to vanish.