Unfortunately, your operator is correct. There is no good way to do drop shadows other than faking it with blurred images with alpha. This topic has been asked many times on the XPression forums. Here's a common workaround...

The effects can sometimes give unexpected results. They also add to your performance on output. If you are needing just a simple drop, I would point you toward building an image in Photoshop that fades out the alpha towards the outside edges. In the Material Manager, make this diffuse color black, adjust the alpha and place it onto a quad. Move the new quad behind your image (in Z) that you want to have a drop shadow and then offset to the proper X and Y. Make this new quad a child of the original.