Peter_P pointed me to some shortcomings of the "Picture-in-Picture" FX. It misses useful features like edge blurring and shadow.
While we can't pimp this FX itself, adding two other FX before and after "Picture-in-Picture" can be helpful.
So add the "Border" FX before "Picture-in-Picture", set its type to "Blurred" and use the "Size" setting to adjust the blur of the frame's edges.
Add the "Layer Dimensionality" FX after "Picture-in-Picture", set the type of the Shadow to "Drop Frame", use the "Height" slider to adjust the offset and "Blur" and "Opacity" for further fine tuning. See what the other settings of "Layer Dimensionality" can do for Picture-in-Picture FX …
Then (if you use these kind of FX more often) save Border – Picture-in-Picture – Layer Dimensionality as FX Package.
Of course you could have same features by just using Track Motion instead but thus being bound to use it as kind of track fx only whereas such an FX Package mentioned above could be used as Media FX, Event FX, Track FX, Master Track FX and Output FX.