Look into the research and tests on solar sails. It's not a difficult problem. Most of the light is reflected, and the rest is not enough to overheat it. Casting a shadow does not require 100% of photons be blocked.
Solar sails are designed to move away from a large source of photons which decreases their energy input exponentially as they move. They are also attached to a spacecraft with its own heat dumping mechanism which means most of the energy can conduct away from the sails into the rest of the more massive thermal system.
》 The thermal mass of the rest doesn't matter, only how much it can radiate over the long term. And an enormous film makes a good radiator.
Unless you've got a perfect material that can be accelerated by radiation pressure and radiate all heat away, then the rest of the spacecraft mass very much matters because that's where 99+% of the heat will migrate to. Whether a "film" is a good raditor or not (AND a good solar sail) depends entirely on the type of material so I don't know where you're getting your assumptions from.
》 Certain designs can't go very close to the sun, some can. Many designs would work just fine for a solar shade.
Do you have a link to such a design? I would be greatly interested in learning about it as I have not heard of a single practical design that can do what you're claiming.
If you need to deal with heat, you set up one side to be good at reflecting, and the other side to be good at radiating. That doesn't require perfect materials. It doesn't even require particularly great materials. For the job of shading the earth, you would do fine with a design that only reflected half the light. We can do much better than that with existing technology.
https://en.wikipedia.org/wiki/Solar_sail#Materials talks a bit about which designs can handle getting significantly closer to the sun than Earth. None of the designs there would have trouble with heat if they were in orbit around Earth.