I see. Pretty simple, it's merely because of the image itself. That part is still not smooth and not fully transparent. It's not very visible in the gif version because you saved it as transparent without the matte option enabled, but it's more visible in png. (Don't try jpg -- it can't save transparency.)
I suggest you put a background layer with a certain colour (white, black, grey, whatever) beneath all the other layers, so when you work on the main components of your image, you'll see what's actually transparent and what isn't. The solution is simple -- just clean up that part. You can use brush, or marquee, or whatever tool you think is best for the job. Select the area where the shadow remains and delete it.