It is not a shadow. It is a gradient for the background image of the link.
The CSS which creates it is
a:hover, a:focus, a:active {
color: red;
background-image: radial-gradient(circle, rgba(245, 245,160,0.9) 30%, transparent);
background-image: radial-gradient(circle at calc(100% * var(--mouse-x)) calc(100% * var(--mouse-y)),
rgba(255, 235, 80, 0.8) 10%, rgba(245, 235, 160, 0.6) 40%, transparent);
}
So to remove the background entirely, you can use
a:hover, a:focus, a:active { background-image: none }
Or to make it still contrast with the red color, but not move, you can use
a:hover, a:focus, a:active { background-image: radial-gradient(circle, rgba(245, 245,160,0.9) 50%, transparent); }
or whatever you prefer.
Your site seems a bit odd, since it says it is using the latest version of the theme, but it is trying to load the skip-link-focus-fix.js file, which was removed from the theme last July. I wonder if you have a cache or a child theme that is loading that?
I must admit that I thought you weren’t even using my theme when I first saw the site. I guess with Elementor, you can make it look like anything.