Make sure shadows for windows are turned on. Go to Control Panel (legacy) System and Security, System, in the left navigation pane click on Advanced system settings...
Then click settings under Performance (Visual Effects, processor, scheduling, etc.) and make sure "Show shadows under windows" is checked. If that is turned off, ShadowFX does not work.
If it's still not working, is your OS using DWM? It will be listed in Task Manager under Processes, Windows Processes. Sometimes it's if the Video Card or GPU hasn't been installed or updated to the latest driver enabling Windows to display complicated graphics such as shadows and higher resolutions.
If all of this is in the green (meaning you've checked all of this and it's all installed and setup already) then can't be sure what else to suggest.