This is a bug, thanks for reporting it. The plugin isn’t saving the shadow when it checks the icon directory. I’ll release a new version to fix it ASAP.
Chris did something change since 2.40.4 that would mess up the shadows again? I verified my images are still in the file mentioned in the post from April 2013 above. I noticed though that the shadows were not there prior to upgrading to 2.41.0. Any thoughts? I’m running WP 3.8.1