What you do should work out of the box.
However, there is an important limitation of GIF as a format (not related to imagemagick). It does not support translucency (alpha channel). GIF transparency on / off (boolean).
Documents claim that the default behavior is to make pixels with (α <50%) completely transparent.
. , ( ImageMagick):
convert a.png -channel A -threshold 15% a_no_shadow.gif
.:
http://www.imagemagick.org/Usage/formats/#gif