All closed elements can have shadows.
To show shadow :
a. Go to shapes properties windows, and check on "show shadow".
b. If shadow doesn't appear, then your shadow option is turned off totally. Go to menu Tools->Options and choose shadow length to small/medium/large. You can also choose shadow color there.
c. If you change shadow color, all elements will have the same shadow colors. However, you can turn off individual shadows for elements in their properties window.