From the UEFN Verse docs, this is the correct way to set the shadow. But it might just be a bug that its not working, just like a lot of things in UEFN…
DefaultShadowColor
color
The color of the shadow. Used only during initialization of the widget and not modified by SetShadowColor. DefaultShadowOffset
?vector2
The direction the shadow is cast. Used only during initialization of the widget and not modified by SetShadowOffset.