If you want to have a drop shadow on al pages, make sure you go to the Master Page. If not, just go to the page you want a drop shadow on. Then follow the next steps:
1) Make sure you haven't selected anything on your page
2) In the Control bar first add a Fill ((just Fill, NOT Browser Fill!) see screenshot below, I've added a light green fill). If you don't want a fill color, just add a white color then (you need a fill to see the drop shadow)
3) Go to Effects and check Drop Shadow
4) If you want a drop shadow all around, set Distance to 0, and make sure you've got enough Blur to see the shadow.
5) You'll see the drop shadow in Muse, but you'll see it better in a browser, so go to File > Preview Page in Browser.
Hope this helps!