Continuously Rasterized Layers and Nested Comps with Collapsed Transformations switched on lose their 3D capabilites when an effect is applied.
Shape Layers, inherently, are Continuously Rasterized.
A quick solution without precomping involves creating a Shadow Catcher Layer. Simply duplicate the Shape Layer. Select a copy of the Shape Layer to be the designated Shadow Catcher. Remove or switch off any effects applied to this layer. Remove or switch of the visibility of this Shape Layer's Contents - we only want the geometry associated with the Shape Layer. THen change its Fill to white and change its Blending Mode to Multiply.
Finally, ensure that the Shadow Catcher is a wee bit above the 'real' Shape Layer - to ensure that there are no nasty surprises arising from two layers sharing the exact same 3D space.