Hello,
There is no theme settings available to add shadow to the product gallery images. But you can try the below custom CSS to display a shadow on the main image of product.
Add this code to the Theme Settings > Custom CSS >> Global.
.woocommerce-product-gallery__image {
box-shadow: rgba(0, 0, 0, 0.2) 1px 1px 8px 2px;
margin:20px;
}
For Clarification see the screenshot: http://prntscr.com/m9f58t
For the gallery images thumbnail shadow you can use the below CSS code at your own risk. Because even if you have less than four gallery thumbnails then also the shadow displays around the area:
.woocommerce-product-gallery .thumbnails.thumbnails-ready{
box-shadow: rgba(0, 0, 0, 0.2) 1px 1px 8px 2px;
}
Result: https://ibb.co/s6zzzjy
Best Regards.