I started to notice this a few days ago. I created a rectangular shape and applied the drop shadow layer style. I then removed that style first by turning it off and then by dragging it to the trash icon.
Now I have a shape with a drop shadow but not layer styles. The only solution I have found is to delete the shape and create a new one without the drop shadow applied.
Seems like a major bug to me.
Do you have photoshop cc 14.1.2?
Resetting the photoshop preferences might clear things up if your updated to version 14.1.2
Hold down the Shift+Alt+Ctrl keys just after starting the launch of photoshop cc and keep holding the keys down until you get
a dialog asking if you want to Delete the photoshop settings file.
Press Yes because you do.