if you look here, you can see it seems that 24-bit images get a drop shadow around the thumb, but not the 32-bit images. This applies to both JPG and PSD, I have not tested other formats. 1-bit, 8-bit and 48-bit also get the shadow, only 32 dont.
With Filter>Effects... it is much the same. Drop shadow doesn't seem to appear on smaller 32 bit png (or new webp) and is incomplete on desktop sized ones (a little shadow seen on 2/3 of lower edge). Don't know about older versions. I only have beta3 installed.