Actually it seems you are in luck, I tested it quickly and AppGameKit auto-sorts alpha blended objects.
Here is a test project, it shows that the shadows remain behind the main objects and the objects switch being in front based on their position. (it's just the source, you have to run it in AppGameKit, no exe included)
The second object and it's shadow are both instanced from object 1 and both object and shadows use alpha blended mode.
The only trick I used is to position the pivot of the shadow planes lower, so that they are always further from the cam than their corresponding object.
Runs for me in both Studio and Classic.