Thank you for reaching out. In order to apply shadows and border to the state shape, you need to make sure to double click into the state and select the shape to apply the shadow and border-radius to. You can verify what is selected in the layers panel.
I ended up starting over with a new shape, and it appears to be working. I think I was trying to add a state to an existing component, and when doing so, there was no ability to Paste Layer Style to a new state and no ability to set border radius.
Not sure why that was the case?
Now that I started with a new rectangle, I can apply border radius, etc. and copy/paste layer styles after double-clicking on the current state's shape layer.