It's impossible to create a screenshots with shadows
The feature was available in 3.36 (and I use it regularly) but was removed in the new design for 3.38. Please bring this feature back - it is available on other systems, e.g. on macOS. It is not available on Windows and it's extreme PITA. Gnome 3.36 used to have the best built-in solution for creating screenshots (compared to macOS and Windows) - it was simple, discoverable, with all basic features - now macOS has better design (more features, but less discoverable).
This feature is very useful for creating nice screenshots, e.g. to advertise open-source software on Wikipedia, for high-quality release notes, blog posts, or user tutorials. Without the shadow, the window looks unnaturally "cut-off" (e.g. most screenshots on FlatHub look terrible because of that).
Personally, out of former options in "Include the window border" in 3.36, I used only "Include the window border + effect: None" and "Include the window border + effect: Drop shadow", so I would be ok if this feature was brought back as a single control "Include window shadow".
Please bring this feature back, thank you!