Let me understand correctly - shadows as seen through the object coming from the scene or shadow of the object as light passes through it?
For the former I used the default shader attached to the density function of the water shader tab and adjusted transparency and luminous to be functions for density within the object. There I was able to effect the opaqueness of the object by increasing or decreasing the water density utilizing the function.
For the later, to get more realistic shadow (depends a lot on surface but) given off by the object I use the reflection tint setting it to a bit darker color than the object.
Don't know if this helps or not...
JR