Just fitting a new XT shadow derailleur (to XT shifter) and was wondering should it be under tension when over the large sprocket and or small sprocket?

definitely over the large one because the wire is pulled to get it there. It should also be in tension on the little one I think as you dont want loose flappy cable, just use the max/min screws to make sure that the deraileur cant move too far either way. I’d probably ask for a second opinion but it is not a particularly important thing if the gears are working properly IMO

small sprocket

make sure your shifter is set to the last click (ie has released maximum amount of cable) and that your adjuster(s) have plenty of room for lengthening the cable after you clamp it (AKA “wind it/them most of the way in”) – esp if you’re on new cable, caps & outer

pull cable hand tight through the mech clamp and then do up the bolt

ride, adjust, relax

(Edit – just read PD’s reply and think I missed your point. Shadow mechs spring towards the outer/smallest spocket and so should “pull” towards the big ones as he says; I was saying how I set them up)

or try here