It is true that having a one combo for filtering files by extension and another for the file format is confusing - it will be changed in future version (it will look just like in the current RWPaint).
Applying shadow to all layers is not possible without changing the GUI layout. It is possible, but requires detailed knowledge about how the internals of the application work. If you feel particularly adventurous and are running on a 32-bit system, you can try right-clicking on the toolbar above the list of images in the icon and selecting the "Configure" command. In the second popup menu, you may try duplicating one of the commands and changing it to drop shadow. If the layout becomes unusable, you can always reset it. Again, applying effects on multiple layers will be easier in the future version - just like in the latest RWCursorEditor (selecting multiple layers and running the effect).
If you ask why the future version is not out yet, it is because I have started improving too many things simultaneously and finishing them all is kind of time-consuming.