How to set shadow of border:

To set shadow of border, first click on design mode. Next, click the border tab and choose a zone. Then, hover over the zone and click the pencil icon. After, click the shadow icon.

Here is how to set shadow of border:

Step 1: Click the design tab. 

Step 2: Click Border tab (A). 

Step 3: Choose a zone (B). 

Step 4: Hover over the zone and click the pencil icon (same as editing a widget)

Step 5: Click the shadow icon (C).