one potentially ugly but potentially good-enough way if you only want one depth-map (which is always best) is to render a colour map from the light as well, but render it all grey (or black) except where the glass is visible (render it in its original colour).
then, when rendering the shadows, each pixel's shadow-colour is interpolated between the colour map and plain grey (or black), by a factor calculated using the pixel's depth behind the shadow.
i hope this is clear enough what i mean. it won't be accurate, but if done properly you could have objects close to the glass getting that colour, and it fading as it moves away.
for example: a white ball close to a red back-lit window pane will have a red shadow cast on it, but as it moves further away from the window the shadow fades to grey.
it's not great, but that's just under the one-depth-map constraint.
i think the best way to do stain-glass windows would just be to use a projected texture for each window.
julz