Windows 7: Underlying shadows on any windows

I've noticed (sadly) that even if I check the "Display a shadow under windows" in the Advanced display options, my box keeps showing me windows without any shadow every time I start windows.
If I check that box, the shadow is there for the entire session (even after sleep or hibernate) but as soon as I shut down windows, poofff , it's gone.

Do you guys have the shadows displayed whatever you're doing?