Yep, what Tomos said -- Shadow Effect, which you can also find in SpeciaFx menu.
And also, the fade out effect on edges of screenshots can also be added, by using the SpecialFx option to "Splice out strip (DELUXE)" and then choosing the effect, or similarly from Edit menu the "Crop with Border effects" from Edit menu. These will let you add a fade-out effect or a ragged edge effect.
Note that the order you do shadow and fade-out effect might make a difference in appearance.