Yes the AppDomain has no evidence.
In the Shim CLRLoader.cpp
In the Shim CLRLoader.cpp
// Create an AppDomain that will run the managed assembly, and get the
// AppDomain's _AppDomain pointer from its IUnknown pointer.
IfFailGo( m_pCorRuntimeHost->CreateDomainEx(T2W(szDirectory),
pUnkDomainSetup, 0, &pUnkAppDomain) ); //the evidence is null. I DONT KNOWN HOW TO SET