I have a few suggestions:
Apply the dark shadow but don't worry much about it being not much visible. On fully dark black background (e.g. #000000), you can't create any dark grey shadow that's darker than background. It could be almost true in real world.
Also, you say it disappears completely, but I can still see some of it when I tried it. Maybe the ...
Here is an option to make your required dark shadow show on a dark background. This is done in Illustrator.
This is a radial gradient from black to gray behind the blue circle which has an attached dark drop shadow.
If there were an actual light source to provide the shadow then there would naturally be some light spill off onto the dark background.