Visio supports layers which can be hidden on screen but shown in print/exports. There is a good chance that your shadow is on one such layer. I would also check to see if there is a background page assigned to your pages because the hidden layer could be on that page.

A good test would be to try a completely blank page. If the shadow appears on it then you know it isn't coming from the shapes visible on the page and must be on a hidden layer or background page.

__________________
Andrew Lockton
Chrysalis Design, Melbourne Australia