Covariate lead to increase in Eta shrinkage

Dear all, I have a model that I am currently working on that is going through covariate selection. There's one particular parameter, whose ETA-shrinkage before adding any covariate was 25%. However, after adding a covariate successfully, the ETA-shrinkage was increased to almost 80%. While the model parameter estimation in this final model is reasonable, and there's no warnings or errors in the output file, the increase in the ETA-shrinkage basically means that the individual estimation falls back to population estimation. Under such a circumstance, how should I decide if it's reasonable to keep this parameter? Thank you. Best Regards -- Xinting