How do I define which side of the widget will have shadow?

First get into the edit mode and click on the pencil icon. Next click on the style tab and choose the shadow icon. Finally choose which edges and click on the edges button.

Step 3: Now you will find four edges (C) Top-Bottom-Left-Right (Left to right). Click on the appropriate edge symbol to enable (color of symbol will be changed to blue). 
Step 4: Set the color (D), offset (E) and fade (F) values as per your requirements.
Step 5: Click done.