Only a couple of characters in Thunderbolt Fantasy got actual character arcs, but I maintain that this is not a weakness in the show. Instead, in my opinion, it's due to differences in what sort of character everyone was. To simplify, dramatic characters change over the course of the story, while iconic characters reveal and/or affirm their essential nature.

As is relatively standard for wuxia, most of the protagonists in Thunderbolt Fantasy are presented as iconic characters. Over the course of the story they wind up revealing their nature and affirming it, but they don't change and so they don't have a character arc; their character is already set and for the most part the show doesn't bother giving them events that might provoke character growth in dramatic characters. This includes Shang, who is an iconic character even if his full nature is not revealed for most of the show.

(Perhaps the purest iconic character is the Screaming Phoenix Killer, who conceals nothing about himself and who constantly affirms his character throughout all his appearances, completely living his life according to his very wuxia iconic nature.)

Only two characters in Thunderbolt Fantasy are dramatic characters, Juan Can Yun and Dan Fei, and both of them get satisfying character arcs that see them growing and changing; they end the show as quite different people than they started. Indeed, Juan essentially forms his final character over the course of the show. I don't think it's an accident that they're the youngest and most innocent characters.

(It follows that it's deliberate that Thunderbolt Fantasy ends the show leaving them behind while the adventures of Shang and Lin Xue Ya continue. As dramatic characters who've experienced growth, their part in an overall story is done now. The iconic characters of Shang and Lin Xue Ya can continue on, running into more situations that let them affirm and reveal more of their essential natures.)

(I got this framing of dramatic, iconic, and picaresque characters from Robin Laws' writing (primarily) about tabletop RPG characters (eg iconic heroes, dramatic heroes, and picaresque heroes). I have paraphrased it here and so any mangling is my fault.)