I know this is quite an old topic. However, there is no answer provided all over the internet, and Qt does not say anything about this unexpected and non-standard behavior. More on that, I had exactly the same issue. Thus, I will provide with a solution which worked for me at least hoping other developers in the future will find this solution.
The problem for me was setting style sheet dynamically on elements without specifying selector. When you do so, and you are adding QGraphicsDropShadowEffect as an effect, then you get this strange behavior. So, in order not to find in this strange situation, I had to ensure that I am setting style sheets in such a way that all selectors are specified.
For instance, if you want to set a color for QLabel (let us say object name is myLabel) widget, then you can do in two different ways:
// Without specifying selector
label->setStyleSheet("color:#000000;");
// By specifying selector
label->setStyleSheet("#myLabel{color:#000000;}");
In both ways, you would have the same result. However, the latter one would not spoil QGraphicsDropShadowEffect effect. I believe author of this question had the same or similar problem.