[InclinedPlane]

Imagine an orbit that went around the Earth exactly parallel to the direction of the Sun, it could be in sunlight all the time. If you tilt such an orbit a little then part of it will fall into the shadow of the Earth, but perhaps only just a small part. There are other factors at play as well, such as the geometry of the Earth's shadow against an orbit and refraction of sunsets through the Earth's atmosphere.