I looked in the compton config file, and there was something like this:
clear-shadow = true; # Zero the part of the shadow's mask behind the window (experimental).
Experimental you say? So, I set this to false, and now I have pretty nice rounded windows with shades:
There's also another way to fix the problem. You can set the following options in compton's config:
clear-shadow = true; shadow-ignore-shaped = flase;