Well, I'm not 100% sure what the command is, but it lets you set the bitmap format to 21, which enables transparency, so you should be able to grab after pasting and it'll preserve the alpha layer.
SET BITMAP FORMAT 21
I'm not 100% convinced that you need to grab each and every tile though, that seems a bit wasteful and there might be better options for you.
For example, if you make a sprite from the tile sheet, like Create Animated Sprite - then you could set the frame of that sprite to suit the tile number, then paste it directly. This means you'd use that sprite as a brush, pasting onto the screen much like you are now - but with lots of benefits... like rotating tiles, fading tiles, animated tiles. It's the route I'd probably take.
Another option would be to just use sprites for the ground, like make the same sprite as above, but clone it several times to cover the screen, then when scrolling you can reposition the sprites and change the frame numbers to suit the map.
In either case, I think that you should just have shadows as an additional tile layer - rather than having a shadow added onto a tile then grabbed, you could just paste the shadow tile over the top - that way you have much more control and it's far less restricting. I mean you might decide to add in dynamic lighting, so the shadows would all be a separate layer anyway but in this case you'd be doubly glad that you stopped pasting and grabbing the tiles.
I am the one who knocks...