SoftShadow is an automated process that creates images from your PowerPoint shapes with softshadows on them.  The resulting images have transparancy.  It is just like you created the images in an external image editor (like photoshop) and imported into PowerPoint.

How PowerPoint prints these images are adjustments that would need to be set within PowerPoint in the Black and White Mode settings.  In PowerPoint 2002, 2003, 2007 and 2010 these images DO print.

Perhaps your print settings are printing light, and a darker shadow would come through better.  Does it show in Print Preview?

Or perhaps you need to check your Black and White Modes (see this thread for more info on grayscale settings: http://support.microsoft.com/search/default.aspx?catalog=LCID%3D1033&;spid=929&query=Grayscale+setting&adv=&mode=r&cat=False)