It has been many years since WindowFX3 which was designed for XP machines. Many of the features it had no longer had any use under Vista / 7 and so the feature set was revisited to make the application useful on all OSes.
Because of this the shadows feature and some other XP features were removed from WindowFX 4. However as DaveRI suggests above there is nothing to stop you running both on your machine as they do not share files, directories or registry keys.
Other missing features on XP are animations which are Vista / 7 only in WindowFX 4. This is because XP is so different to the other OSes.