Illuminate a polygon from psxy

The polygon is “flat”, so the illumination made from grdgradient is, well, flat too.
You can achieve the desired effect by having a grid to overlay on your polygon and apply the gradient over it.

As for the specific on how to achieve that … that depends.

I probably would repeat the DEM clipped within the polygon, use the gradient, then re-add the polygon with some transparency.

Does it make sense ?