Does the error with distorted text happen with other fonts? I'm curious about the import settings for Retron2000Regular. The fact the letters are changing proportions makes me think that it's a bitmap font and that the system I wrote for making things scale differently with bitmap fonts hit yet another edge-case... but that's just a guess! Would it be possible to send me this font with either a link to where you got it or by email?
If you need an immediate quick fix, does it work when you click "Enable support for RectMash2D & UI Effects" and add a dropshadow effect with that? (On the basic Universal shader)
The error where only the shadow renders is just how the non-Ultra shaders will render in URP, so... not really a bug, just what the Ultra shader and STMMaskableGraphic was made to correct. (More efficiently than those shaders!)