In the newest Sketch beta, Frames take the place of Artboards. Unlike Artboards however, Frames, even top level ones, have no drop-shadow to give them visual separation from the canvas background. While this decision brings Sketch inline with Figma, I find it makes the workspace far less clear.
That being said, a solution to this problem seems clear. For a while now, you’ve been able to specify the “default” shape appearance by styling a shape, and setting it as the default style from the menu bar. With Frames working just like any other kind of shape on the canvas, it seems adding this functionality to frames as well, through a similar menu item under Layer → Style → Set as Default Style would be an easy way to let those of us who want shadows back on their Frames to have their way.
(And ideally, this will only affect top level frames so that child frames could retain the “unstyled” appearance we have now)