I am new in GTK theming. Now I am trying to create theme GTK for XFCE. Everything is OK but how to remove this ugly shadow under the panel?
I don't think that shadow can be removed via a gtk theme, it is drawn by the compositor. If you are using xfwm4, to disable it open Window Manager Tweaks, go to the Compositor tab and uncheck the "Show shadows under dock windows" option.
Running xprop | grep TYPE
and pointing to panel, one can learn that its type is _NET_WM_WINDOW_TYPE_DOCK
and according to f.do specs:
_NET_WM_WINDOW_TYPE_DOCK indicates a dock or panel feature. Typically a Window Manager would keep such windows on top of all other windows.