I play twilight Twilight Shroud as reaction with kaisa after I have been traget from falling star. Does it get damage because it was targeted before?

Radiance rules aren't published yet. This uses the printed card and current rules only, and it isn't a ruling on the new mechanics.

No — your unit takes no damage, even though a Falling Star trigger had already chosen it. Twilight Shroud makes the unit "can't be chosen by enemy spells and abilities this turn," which is untargetability, and Falling Star's damage comes from reflexive triggers that choose their targets only after the spell resolves. If you respond to a trigger that already picked your unit, the unit becomes an illegal target and the trigger mistargets — every instruction related to it is ignored (Rule 758.1; same precedent as FAQ #11926 for Twilight Shroud vs. an already-targeting spell). If instead you respond to Falling Star itself, before the triggers finalize, your unit simply can't be chosen when those triggers pick targets.

One timing note: Twilight Shroud has no Reaction keyword, so playing it into a closed state only works when something grants your spells Reaction — e.g. Kai'Sa, Rebel while she's in a showdown. Otherwise you'd have to play it during your own open state, and Falling Star is played on its controller's turn.

This is my interpretation based on Rule 758.1 (mistargeting) and the untargetability clarifications. No official FAQ exists for this specific interaction.