Grab doesn't generate the shadow when a Window is copied, it copies the shadow that the OS has already applied to each window.
However, If you want to apply a shadow to your screen shots it can be done with extra steps using other applications.
If you have Keynote or Pages installed, you can replicate it with a few steps.
- Open Keynote or Pages (instructions same after this point)
- Select a template. The background does not matter but white shows your work better
- Drag or paste in your screenshot. Note: Using control+⌘+shift+4 you can send your screenshot directly to the clipboard.
- Apply a drop shadow to your image
- Select and copy just the image and paste it into your email or desired location.
See images below: