Anyone know how to apply edge shadows on amber bottles and their labels, or cosmetic jars etc?

I like to keep everything on its own layer.

So the brown bottle is completely blank.

The label consists of three layers: White rectangle, Adobe logo, Photoshop (grabbed from Help > About Photoshop). These are combined in a Smart Object to make the next stage more convenient.

Ctrl clicking the brown bottle layer to make a selection of its outline, and then Edit > Stroke on a new layer using Centre.  I used 20 pixels.

You can see that the stroke overflows beyond the bottle at this stage.

Ctrl D to deselect

...and Clip the stroked outline layer to the label layer.

The overflow area of the stroke now disappears.

I've made the stroked outline layer a Smart Object so when we blur it (Gaussian Blur — I used 20 pixels), we can edit the value for best effect.

Stroked outlines are super useful in all sorts of situations.  I used a white stroke to simulate a specular highlight on the outliner of the jet below to delineate it from the dark background although, looking at it now, I wished I'd blured the stroke more.

Same thing with this sky bridge illustration (from one of our Something For The Weekend threads).  In this case a white to black gradient was run down a layer mask to fade the stroke by distance to simulate perspective.  It's a useful tool to have in your big box of Photoshop tricks and tips.

I would select the area of the label (or bottle) to mask a gradient layer with eventually a blending mode.

Example without blending mode (just black 100 to 0% symétrically) :

 Then at any time you can edit the gradient to change the shadows as wanted.

Before

Can the Inner Shadow layer style help? (Layer > Layer Style > Inner Shadow)

You can clip or mask it to the label or bottle to limit where it appears.