Be sure that you do the following:
- If you are at KDFW, set the aircraft shadow option to "on", when you are on ground
- Exit from FSX cleanly, otherwise the option is not saved to the FSX.CFG, then restart.
Don't use KDFW as a test because, when inside KDFW, the option is automatically turned on/off depending on your ground altitude. The reason why it does that, is really long to explain but, that's how it supposed to work.
Outside KDFW, the option will not be touched but, you need to be sure that FSX had a chance to exit cleanly and save your preference in the FSX.CFG, provided you saved the preference either when you are on ground (if placed at KDFW) OR anywhere, if outside KDFW.