I got Frost, and then Shadowmere. I've noticed Frost is still hanging out around the Sanctuary, do I still own both horses? Or will Frost disappear after 30 days or so?

Yes , you can. You can even swap. I've parked Frost at Markath Stable, and Frost is still there at the stable.

Does that work with Shadowmere?
I usually leave her in the swampy area by the sanctuary because once she ran off and got lost, I never found her on that character... I'd love to park her in Riften so I don't loose her.

It's a bit of hassle to get it work. First you have to fast travel to the location, where you want to leave your horse. Preferably in a location where it won't get affected by various wild life to minimise the chance of death or it running away. Then you have to dismount and walk all the way to where you left your other horse and mount it. This did the trick for me.

I have Frost parked at the bottom of the College ramp. He even says hello to me when I walk by.