@beduncalf – this is an old issue…
Not resolved yet.
Gerald Singelmann wrote up the case about five years ago (in German):
Effekte skalieren, ein Update
For drop shadows he wrote a script that will scale the effect:
Download link for the ExtendScript version:
UI is in German…
This script will also scale effects like:
It looks like InDesign CC 2014 is scaling shadows now.
There is a general setting top right for including effects when scaling. I have this setting checked and change the size of an object – the shadow is scaled. I uncheck this setting and the shadow remains the same.