The idiom is a parallel structure: [Verb 1 + Noun 1], [Verb 2 + Noun 2]. “Catching the wind” and “grasping the shadow” are two metaphorically identical actions. Both are futile attempts to hold onto something intangible and unreal. Combining them creates a powerful, poetic image for any effort built on a foundation of nothing.
This idiom is almost always used with a negative connotation. It is a form of criticism, ranging from a gentle chiding to a serious accusation. It is versatile and appears in both formal and informal situations.