No Sherif, it doesn't.
Adding a shadow inside a component, makes it almost impossible to make a clean repeat grid. This case is beacause XD thinks that the boundaries of shadows should be added to the boundaries of a component.(as it should, maybe, like Photoshop). So when you make a repeat grid with a 12 px gutter, it adds the shadow to every box boundaries and (taken 12 px shadow box)thus makes a 24 px distance between two boxes

Right now I want to add a shadow to a compenent, so that when I change the contents of the component the same shadow is applied to it. However because this feature is not available I cannot do that. I always have to manually set the shadow on the contents of the component. This feature is very neccessary

It doesn't solve the need, as it's not just about applying shadow to any particular layer, but for the outline of the component itself. Sketch does this today -- shadows can be applied to any Symbol (component) as a whole and it will apply shadows as if the Symbol/component is a layer.

Alan,

Today in XD, you could select any layer inside the component and add a shadow to it, and it render outside the component bounding box. Does that solve your use case? if not, could you please add more detail into what you're trying to achieve.