I cannot find the setting to enable drop shadows.
Or is there no setting for that?
System Settings -> Application Style -> Window Decorations and click on the icon settings for the window theme selected (in my case is Breeze). There is a tab named Shadows, you can change some values.
If after all the window shadow isn't showing, maybe you have to (re)enable Compositor, at System Settings -> Hardware -> Display and Monitor -> Compositor. For me, OpenGL 3.1 is working well for the Rendering backend .