http://gameinfo.euw.leagueoflegends.com/en/game-info/champions/lucian/
I'll let that speak for itself because it actually proved me wrong, he's considered of Demacian allegiance, not independent. Sorry for that, I screwed up. But my point still stands. Lucian isn't affiliated with or has significant history with the Shadow Isles. His history is with his homeland of Demacia, his wife Senna, and with Thresh. He has been to the Shadow Isles before, he fought Thresh there after all, but champions that are considered of a certain national affiliation are tied with it either through their birth or their allegiance. Lucian doesn't have an allegiance to the Shadow Isles and he certainly wasn't born there, thus I'm confident in saying he ain't a Shadow Isles champion.
On the topic of Brand; Brand is in fact cited as an independent champion.
http://gameinfo.euw.leagueoflegends.com/en/game-info/champions/brand/
This kinda boils down to how individual champions would identify themselves; Maokai was a spirit of the land that became the Shadow Isles. He's a Shadow Isles champion because he fights to restore the land. So technically, he still fights for the Shadow Isles, but for his Shadow Isles. Brand might not even originate from Freljord originally, he was imprisoned there, sure, but is that where he was born? And what was he doing there in the first place? Lucian is Demacian born and is the one man army against the Shadow Isles. He wouldn't associate himself as having a relationship with the Isle other than wanting to destroy it, a sentiment other Demacians likely would share if they actually gave a damn!
If that comes off as really snobbish, I'm sorry, I didn't intend for that. Hell I might just be talking about of my arse. These are my musing and opinions on the subject. But I feel what I've said holds some truth to it.