I see the character for evening are wan3 and shang4, but when the word is written in pinyin, the fourth tone disappears from shang and it becomes neutral. I've read the rules of tone change but I don't see anything about this. I see similar things happening on many words. What's going on?
There is no simple rule for dropping a final tone, so you would have to learn all those cases by route. Half of them end in 子 (zi), as a diminutive.
The further north you go, the more common it is to drop tones. Nevertheless, there are many words that always end in a neutral tone in all variants of Mandarin.
Consider 东西, which is pronounced dong1xi, meaning things or stuff. If you pronounce it dong1xi1 it means east-west.
Likewise, 上, 里, 边 and similar postpositions are often softened by a tone drop, as in 晚上 (wan3shang), 东边 (dong1bian), or 哪里 (na2li, with additional tone change).
Another category is reduplicated words, like 妹妹 (mei4mei), 姐姐 (jie3jie) and 爸爸 (ba4ba). A word like 小姐 (xiao2jie, tone change) is also softened, although 大姐 (da4jie3) isn't.
Although you could stress the final tone in words like 喜欢, 时候 and 晚上, people would consider it rural or foreign.