While Firefox displays the shadow but cuts off the image (in your example), Chrome, Safari, and Opera do not show the shadow at all. I've been curious about the reasons behind these differences myself...
Interestingly, I've noticed that Opera successfully renders shadows for SVGs exported from Illustrator CS5, whereas Safari, Chrome, and Firefox do not. It seems like SVGs are still in the early stages of becoming the preferred web graphic file type (which is highly anticipated). It's unfortunate to see all these discrepancies, but Chrome stands out as the smoothest option for SVG animation in my experience.