Just wanted to report that ShadowFX seems to work pretty well for me on Windows so far, but some notable exceptions:
Spotify. And Spotify windows seem to particularly need it.
(In this case, my "active" window shadow style is thick orange, and "inactive" is a dark blue.)
Update: Also just noticed, FWIW, shadows also don't seem to be applying to Outlook (365/2016) windows, nor MS "Sticky Notes" windows. It's just not as bad or noticeable because these windows seem to have their own, thinner shadow applied.
Wouldn't be surprised if this also applies to other MS programs.
Outlook / Sticky notes shadows not showing