Borderless TForm with drop shadow

Question

I have made a TForm derivative that acts like the drop down part of a combo, or a hint window, or a popup menu - a temporary thing. It has no caption - its BorderStyle is set to

Answer 1

"It works on my computer."

(High-res)

But it is quite funny, for I have a faint memory of making the same conclusion as you make, that is, that CS_DROPSHADOW does not work without the thick, resizable, frame. Are you still running Windows Vista, perhaps?