(Pixelmator Pro 1.0.8 on macOS 10.13.3)
Create a new tranparent layer.
Paint a squiggle on it.
Apply a shadow using Styles.
Paint another squiggle on the layer.
Notice that the shadow of the first squiggle has merged with the layer and that the second squiggle has no shadow.
Or, alternatively, carry on working for 30 mins before noticing that your image is borked. #frustrated.
Switch back to classic Pixelmator because that can handle layer shadows non-destructively.
Is something not working like it should? Let us know.