While baked lighting does work with HISMs, it only works when a HISM component is directly added to an actor.
When adding the ‘Add Hierarchical Instanced Static Mesh Component’ node to an actor (and setting it to static), you are unable to get any shadows when building lighting.
Steps to reproduce:
- create an actor
- add a HISM component and set it to static
- add an instance in the construction script
- create a second actor
- add the ‘Add Hierarchical Instanced Static Mesh Component’ node in the construction script and set it to static
- add an instance
- place both actors in the scene
- add a static direction light
- bake
- see that only the first actor casts a shadow
A similar issue was reported here and fixed, but it appears to be back in UE5
If a bug report could be created that’d be awesome 
Thanks!