Thanks TIG! Problem solved. I ran it as administrator and that sorted it out. What would the reason be for SU NOT to run as admin??

Im just soooo relieved I dont have to reinstall Windows!!

I have followed EVERY possible advice in this thread, as well as anything else I came across on the web. NOTHING helps. Even the shadow setting button doesn't stay in, so no such panel even exists (hidden or otherwise) The ONLY other thing I can try is a complete Windows re-install, which I'm obviously not very keen on. Might it be a administrative / permission issue that causes the registry to reset back to the normal values?
If anyone can think of a solution NOT mentioned here, please let me know.

@TIG
I'm not sure how to post a screen shot, so I'll try explain instead:

My registry shows the following:

default ....
show = 1
sticky = 0
x = 0
y = 42

I have reset them all to 0, and started SU. This does not solve the shadow box problem though. On return to the registry, it
would reset itself to the above values.
I notice the contents shown in the "SnappyShadows" of your registry is different to mine. Don't know if this matters?

I have the same problem. I have done all the above, plus did a re-install, and the problem still wont go away. Even if if click on the shadow setting button, it just pops back up again, as if it is ignoring me:( Anyone else come across this very annoying problem?? Please help! I am running SU8 on PC.