*SPOILER (obvious, but still, SPOILER)*
That guy named Shadow from the Rythm Rogues is actually Jaguar. You'll get to rescue him from Purge in Report 5, right after the Midway Point.
After a band battle and a shoot-out with Shadow (Jaguar) and a few doppelgangers, you'll actually rescue him and he'll join your team. Right after that the report ends and you'll get your achievement.