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
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.