I think it's just a matter of scale. It only looks close because Jupiter is so big.
I think what makes Io look close to Jupitor is the sharpness of the shadow. We are used to seeing the shadow of something farther away being more diffuse.
Now I'm guessing that there is less light scattering because of a lack of particulate matter between Io and Jupitor but hopefully someone here will have the real answer as to why the shadow is so sharp edged.
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