It would be a nice improvement if the shadow option included the ability to have 'soft' shadows (i.e. shadows that have a blurred edge and alpha transparency).
A good example of this type of shadow are the shadows in the wxShapeFramework documentation produced by Doxygen.
One method of producing these shadows might be using wxImage::Blur having converted the current shadow rectangle to a wxImage however there may be performance issues.
An alternative approach is documented here http://www.curious-creature.org/2005/07/07/fast-or-good-drop-shadows/.