My assumption was that because it's a 'Glow' shadow, it would be something other than black.

And as others have said, sometimes I select the 'Wall shadow' first and then the 'Glow' shadow, if I want it to be black.
Or, at other times, I apply the 'Glow' shadow, move the mouse away from the object and then slowly move it back to it until I get the cross-hairs with the arrows, and I then click to select the shadow. Now change it to what ever colour you like.
(That explanation might look long-winded, but it's quite easy to do.)