When you press this button you will see the following window:
You may specify that the Tab Shadow is set by the template (in design-time), by a user variable (in run-time) or disabled.
In either case, if you set the shadow color to COLOR:NONE, then the shadow is not created. Otherwise, COLOR:Gray is a good color for the shadow (Although you can choose whatever color you want for it).
When you activate this option, a window with a sheet control will look like this:
Note the gray shadow under the Sheet.