There are a few older threads mentioning the same issue. If your monitor is accurately calibrated and your profiles good, your prints should be in the ballpark. The biggest problem may simply be the disparity between a reflective CMYK print and a transmissive RGB monitor. My experience has been when a print from my Z3100 is well lit, the shadow detail is there, but it's difficult to see it in dim or casual room lighting.
I picked up several relevant pointers from the Atkinson/Cramer printing workshop in Toronto. First, run the eyedropper over your image before you hit the print button, and see what kind of L numbers you get in the LAB panel. If your detailed shadows are running L values in the less than 20 range, they will print so dark you won't be able to perceive detail unless the print is (very) brightly lit. You may want to "lift" the shadows a bit with a curves layer. Second, try hitting the "f" key a few times in Photoshop to switch between screen modes. If you keep a grey border around the image on screen, it may look "brighter" to your eye than it should. If you study it with a wider white border (like a matte) around the image area, it will look a little darker to your eye, and closer to the appearance of the eventual print.
If all else fails, I find it useful to keep a "reference print" handy, one with decent shadow detail. I bring up the same file on screen and look at the perceptual difference in the shadows, so I have a better idea of how another image will translate, before wasting another $10 sheet of paper.
This works for me; as always, YMMV.