Welp, back from Gamescom and I'm glad to see that I've had several pages to read through ^.^
On the topic of Gamescom, the Nintendo Booth was much bigger than last year's, I feel. A few indies they showed in the UK indie video presentation had playable demos there (Everspace, Baba is You and Monsterboy for example). I couldn't see which Smash demo version was used as the floor demo since the whole Super Mario Party and Super Smash Bros. Ultimate sections were walled off. Unfortunately I couldn't really justify standing in line to get a hands-on experience since I had a stand of my own to attend to.
I was also surprised to see more indies around this time. I find it really fun to discover new indies this way.
Anyways, back on the speculation topic (puts on tinfoil hat):
I've had the impression that James Montagna might be the middleman between WayForward and Sakurai/Smash Devs. I mean he does state how it's important to have those connections and relations between companies to make these 3rd party characters work. We know James has met Sakurai, I know he knows some basic Japanese (and has close connections with someone who knows fluent Japanese) and James is ofcourse one of the people who's very much involved with Shantae.
There was an earlier interview with James Montagna by Source Gaming on January 16th, 2016:
https://sourcegaming.info/2016/02/07/sfts-james-montaga/
(sorry if this has already been covered).
This interview covers some talk about Indies in general, some Shantae and some Smash, but noting really about Shantae being in smash (it's about 2 hours long though). The interesting part to me is his mentioning of being with Sakurai during the reveal of PacMan (around 1:07:00). So this relation might just have already been there a bit back then.
So I could think James Montagna is under NDA as well. Though he is more comfortable talking about Smash and like someone stated before he's a big Smash fan and going dead silent would just create more suspicion.
Also, when it comes to the Nindie Direct, I wouldn't expect a reveal there, though it's not impossible. What does seem more likely and a much more Sakurai-like thing to do is leave a subtle tease in there.
I know I'm keeping my eyes open during this Direct, because I just like to speculate.