[kec]

https://support.apple.com/en-us/HT201361

yes, the drop shadow is automatic if you use the window capture mode.

[janfoeh]

By the way, you can capture windows without drop shadow if you hold Option while selecting the window:

1. Press CMD + Opt + 4 to enter selection mode

2. Press Space to switch to window selection mode

3. Hold Opt and click