Photoshop 21.0: Drop shadows moving for multiple layers

You sure this isn't because they're both using Global Lighting and you're moving global lighting by moving the shadow of one layer? The large jump of the squiggle shadow seems to happen because when you pass the center of the source layer with the shadow, the angle inverts and looks more prominent on the other layer.

Very interesting.  Yves, can you try enabling Preferences -> Performance -> Legacy Compositing and see if you get the same or fixed behavior?

Andrew