You can find this control at Slider settings → Controls tab.
There are some shadow images, which could make your slider look better. These will always be at the bottom of your slider.
You can choose a shadow image from the drop-down list. In the Pro version you can use custom images, too.
You can specify the width of your shadow.
You can make your shadow invisible on Desktop, Tablet or Mobile view.
Hide on slides Pro
You can hide your shadow on specific slides separated by commas. Use the slide index (1 = first slide) instead of the slide ID.