Feature blending showing bounding box?

Well, there is a workaround using the geometry generator.

When representing a buffer of the point layer (buffer( $geometry,15)) instead of a simple marker, the bounding box shadow doesn't appear.

Still, it is a strange behavior and for the comments it seems not universal at all..

as discussed in the comments and just adding it for compilation:

Another hack might be to use ellipse markers with the same value for symbol height and symbol width, which consequently create a circle and thus might be more performant than using a geometry generator for large point clouds.