\startuniqueMPgraphic{mpshadow}
% BodyFontSize should be the current font size of/in the frame
mw := BodyFontSize/3;
ox := 3 ; % offset x
oy := 2 ; % offset y
bx := 1.7mw ; % bleed x (height of the shadow)
by := 3mw ; % bleed y (width of the shadow)
rx := 2mw ; % max. corner radius x
ry := 1mw ; % max. corner radius y
steps := 10 ; % number of shadow layers, 10 is a good value
hue := 0.03 ; % 0.02 is a good value
ycorr := 1mw ; % difference between overlay height and shadow height

for step = 1 upto steps:

part := (step-1)/steps;
xstep := bx * part ; % current part of bleed
ystep := by * part ;
crx := (rx + rx*part)/2; % current radius
cry := (ry + ry*part)/2;

% points of the rounded rectangle
xa := -xstep + ox;
xb := -xstep + ox + crx;
xc :=  xstep + ox - crx + \overlaywidth;
xd :=  xstep + ox       + \overlaywidth;
ya := -ystep + ycorr + oy;
yb := -ystep + ycorr + oy + cry;
yc :=  ystep - ycorr + oy - cry + \overlayheight;
yd :=  ystep - ycorr + oy       + \overlayheight;

fill (xb, ya)---
(xc, ya)...
(xd, yb)---
(xd, yc)...
(xc, yd)---
(xb, yd)...
(xa, yc)---
(xa, yb)...cycle
withcolor transparent(1, hue, black) ;

endfor;

setbounds currentpicture to OverlayBox ;
\stopuniqueMPgraphic

\defineoverlay[shadow][\useMPgraphic{mpshadow}]

\setupexternalfigures[location=default]

\starttext

\startplacefigure
  [title={MyTitle.}]
  \externalfigure[mill]
\stopplacefigure

\blank[2em]

\startplacefigure
  [title={MyTitle.}]
\externalfigure[mill][background=shadow]
\stopplacefigure

\stoptext