I can confirm, this is weird behavior on part of Figma. Photoshop can do it… but in Figma, we have to enter a 0.01 value in our fill to keep the shape active. Can’t this be changed to have shaped with ZERO fill, but still have their shadows?
Strange, this behavior of no drop-shadow with empty fill seems like something they would have had to code in. Maybe some dev thought too physically and felt overly clever that day.