If a Drop Shadow effect is above a Free Distort effect in the Appearance panel (which means the shadow gets applied after the distortion) — it works fine.

However, if we first have a shadow and then try to distort the object which casts it (the Free Distort is below the Drop Shadow in Appearance) — the vector geometry gets distorted, but the shadow stays orthogonal and immune to the distortion.

Not a very popular workflow, I know, but still.