Broo: This creates 36 square objects, sizes them proportional to the parent object, and puts them in a ring right next to the edge, on the inside of the object. Like... making a crude circle out of boxes, and using that to cast the shadow. (Sorry, I made them invisible - change the attribute 'invisible on start' and you should get an idea.)
Making a crude ellipse out of boxes is possible, I'm sure of it. I suppose you'd just need more, smaller box objects to prevent them from being seen, proportional to how elongated the ellipse is. But you'd also need different maths to actually get the boxes in the right elliptical shape. At the moment I'm just moving the boxes towards angles in every direction, proportional to the size of the circle. For an ellipse, I think trigonometry might be involved. I guess they were right and I should've paid attention in maths class.
(I hear the shadowcaster object is planned to support non-rectangular shapes eventually, like Mipey says. But I'm not sure what the priority is; probably after 1.0.)