i\'ve created a layered window by adding the the WS_EX_LAYERED extended style:
wndClass.ExStyle = wndClass.ExStyle | WS_EX_LAYERED;
Windows
Transparent layered windows is documented as the preferred technique over regions.
However, CS_DROPSHADOW does pay attention to regions. If you crop or otherwise shape your window using a region, the drop-shadow will follow the new outline.
Fortunately, you can use regions with layered windows, and by combining the two get the effect you're looking for.
BTW: tooltips_class32 does use CS_DROPSHADOW - you won't see it in the window styles because it's a class style, not a window style.