Something that really catches my eye is your use of eye highlights. They look really good. The highlights really bring out the curvature of his eyes, which stops them from looking flat. In combination with the shading, it really gives the picture a good feel of depth. Nicely done.
He looks like his butt is floating. I'd suggest you try and add rumples and shadows in the bed sheets around his butt and feet. When you sit in bed, you sink down a little bit, no? Also most times I've ever watched a dog or cat, (I own multiple cats) they tend to have their tail to the side, not too often do they sit on it like that.
Other than that, though, lovely piece! Great expression~
You're right, the shadows do seem quite detached from him. I think it looks nicer if he is sitting in a even more leaned back position, when the tail sticks forward instead of to the side. Of course if he's feral, I'd draw the tail to the side or back.