The start menu shadow setting is in SKS6. It's on the Extra Settings tab for the start panel user pane. I never set fonts for classic widgets, as they tend to cause more problems than they're worth. I don't believe they are in SKS6, but if they are, I may not have noticed.
SkinStudio 6 is still evolving, so once in a while you may think of something that you can't find in there yet. In those cases I make adjustments manually via the Code tab for a given section, or I close SKS6 for a moment and edit the UIS file in notepad. Those situations are becoming more rare with each update to SkinStudio though.
I have seen the Start Menu Shadow setting but was under the impression it didn't work yet in SKS6. I had already set it in SKS5 on the skins I am working on so I haven't verified that, but I'll sure try it on my next from scratch skin.
The Fonts for Classic Widgets can be a pain, but sometimes the font clash is a bit too much for me, especially if I'm using a distinctive font or fonts for all the other areas.
IR, I've seen that happen (font settings from a previous skin remain if a font isn't specified); although its been a while.
And since the ability to manually add code was put in a few versions back, it makes it even easier to stick with SKS6.
I like using SKS6. When I do open SKS5 now, it seems 'odd'
CobraA1, listen to Mike.
jazzymjr, kitty's right ... the more you use it, the easier it gets. Before you know it, SKS5 will be the one in which you'll be lost.