The fact is that in XD not every PID is actually reachable: some are skipped because of the non-shadow pokemon generated before the shadow one.
As for Rhydon, there's not a non-shadow pokemon generated before it, so, in theory, any PID should be valid.
With XD, however, Pkhex is still quite inaccurate, since it flags illegal pokemon that are actually legal, and vice-versa.
In the end, my recommendation is: if you want shadow pokemon to be legal, you have to actually catch them and keep them as they are.