The compton.conf of openbox is in ~/.config/compton.conf.

Make a backup of that file and then experiment with its settings. You still have a backup in /etc/skel.

We delete a line that is holding the shadow back on the menu.

Look for the shadow-exclude part and delete this line

“! name~=””,

Then log out and log back in to apply the new compton settings.

We see that the conky gets a shadow too. 

Personally it looks nice but we show you how to get rid of that in the video.