In Luna the shadow seems to depend on the window decoration.
Another option to define the window without using decorations would be
to set a semi-transparent window using argb.
Note that you set own_window_transparent no and use argb to set the transparency.
eg
Code:
own_window yes
own_window_transparent no
own_window_type normal
own_window_hints undecorated,below,sticky,skip_taskbar,skip_pager
own_window_argb_visual yes
own_window_argb_value 100 # value 0-255 with 255 being totally opaque