GTK+2 Ambiance and Radiance feature properly-assigned shadows, but, by design, they are differently allocated, meaning, the menus' shadows are smaller than nautilus'.
The reason is that Ambiance and Radiance have in their configuration files different shadow-ing, but, fortunately, this is quite easy to adjust.
CompizCpnfig Settings Manager-->Window Decoration lets you adjust the shadow's radius (its size), opacity (the shadow strength), but Ambiance and Radiance can't be affected by this method.