Welcome to the forum.
Can you post a screen-cap of the Program Monitor, showing the "shadow," and also the Timeline, with that Cropped Clip/Still showing?
I second Bill's request. I'm not fully understanding what you're asking, and seeing it might help.
You say the shadow appears only AFTER rendering in Premiere, is that correct? How is preview prior to rendering? Could be something to do with the export codec or quality settings.
Please help us to help you by sharing the workflow -
1) What size and format are you saving out of Photoshop for import into Premiere?
2) Any compositing or effects done in Premiere, or just importing completed image from PS?
3) Render and/or Export settings - screen grabs are helpful
Looks to me like you actually have a Drop Shadow applied.