Ideas and suggestions.

Is it possible to install both The Shadow of Death and Horn of the Abyss? I want to try if it's really possible to have both on different folders.

Yes, just install the full version (the one linked as "full") in an empty folder.

However, there isn't much point in doing this, as if you install the regular version over Heroes, it won't affect anything from the original and will run from the same folder without any problems.