I can't understand why the shadow path has thorns near the Arrow Cap.
Refer to my screenshot.
using (GraphicsPath _Path = new GraphicsPath())
{
Point[] _Points = new Point[] {
new Point { X = mouseDownX, Y = mouseDownY },
new Point { X = lineEndX - 51, Y = mouseDownY },
new Point { X = lineEndX - 51, Y = mouseDownY - 20 },
new Point { X = lineEndX, Y = mouseDownY + 5},
new Point { X = lineEndX -51, Y = mouseDownY + 25},
new Point { X = lineEndX -51, Y = mouseDownY +10 },
new Point { X = mouseDownX, Y = mouseDownY +10 }};
_Path.AddPolygon(_Points);
using (PathGradientBrush _Brush = new PathGradientBrush(_Path))
{
_Brush.WrapMode = WrapMode.Clamp;
ColorBlend _ColorBlend = new ColorBlend(3);
_ColorBlend.Colors = new Color[]{Color.Transparent,
Color.FromArgb(180, Color.DimGray),
Color.FromArgb(180, Color.DimGray)};
_ColorBlend.Positions = new float[] { 0f, 0.1f, 1f};
_Brush.InterpolationColors = _ColorBlend;
//myGraphics.Clip = new Region(_Path);
myGraphics.FillPath(_Brush,_Path);
//myGraphics.ResetClip();
}
Matrix _Matrix = new Matrix();
int _ShadowDistance = -40;
_Matrix.Translate(_ShadowDistance, _ShadowDistance);
_Path.Transform(_Matrix);
myGraphics.FillPath(Brushes.Red, _Path);
}

One way to correct the problem, is to specify the inner
PathGradientBrush's FocusScales, to delimit the color fall-off, without compromising the color blending.Unfortunately, the Docs don't actually describe what this property is used for.
You can read a better description here: How to: Create a Path Gradient
The fall-off can be adjusted on the color positions. Since you specified:
then the color fall-offs can be set to:
The horizontal scale can be adjusted, but within half of the total measure, otherwise the color blending will be compromised: you won't see the transparency anti-aliasing on the edges of the shape.
A better result is also achieved setting the PixelOffsetMode to
PixelOffsetMode.Half.Note that the description in the Docs is wrong, refer to the C++ documentation about this setting.
A sample implementation. You may want to refresh the drawing only on a
MouseDownevent.mousePositionis the Location of the Mouse pointer. Can be set in theMouseDownevent handler.