I agree with sledger. In fact IMO there's no reasonable way you could remove a clipview without losing any shadow on it.

The shadow applies to the intersection of the clipview frame path and the content paths. Removing the clipview means that intersected path no longer exists to have a shadow on it. Moving the shadow to either the clipping path or the clipped objects would make no sense.

The other stuff, where applying effects to an object selected inside a clipview affects the outer clipview object instead, does appear to be a bug, however. It's behaving exactly as if you added the effect to the complete clipview, ignoring the inner selection.

Personally what I would love to be able to do in a future Xtreme is right-click an object such as a group, clipview, perspective/mould etc. (either on the canvas or in the Object Manager) and choose an ‘Open in new view’ option to edit the contents of the group/the clipped objects/the unmoulded contents/etc. in a new window on their own. The control-Click-to-select-inside shortcut is great, but this would be much more powerful.