Layer two tracks of titles....one off set from the other (and behind) and then scroll.

I think that if you look at the parameters, there actually IS a shadow parameter...I'm not sure but I'd bet there is one and that you can change the angle, color, feather, etc...

I checked and if you go into the Effects tab in the Text option from the Media Generators, you will find it.
Is that what you want?

Oops! MY mistake. Sorry! I read your post again, thinking it was too easy... and you're right, with *scrolling* text, there's no such thing.
Now what I'd do would be to use the standard text option and "scroll" it with Track Motion.
I guess it's the best we can do right now, altogether with Kameronj's other solution above...
And yes, like Tors said, there's a tutorial at Sundance media site (I remember clearly) that goes *far* beyond your needs but maybe you could use it as a starting point; the guy dropped a shadow (from a text) on a person's face, this shadow actually following the curves of the face...

"If not, how would I key imported titles with a shadow? or do I have to composit both titles and background in AE or some other program?"

Should be able to key them in Vegas, though I'm not going to say it will equal AE etc...

First off, the std text generator has feathering and shadows in VV4b, and allows motion... Scrolling text does not...

Options for adding the shadow manually would include rendering the text as images with a solid background and batch rendering in something like P/Shop using a scripted action to do something like select text color, then massaging it however, perhaps adding a fill to a feathered selection border... Key the result off the background color in Vegas.