Baked shadows disabled when showing actors

I split my (big) map into two levels. One level with all the actors I want lightmaps for (the playable area) and another level with all the actors that don’t need lightmaps.
This is what I get after the lighting Build (small part of the playable area) :

But then when I unhide the “not baked level”, the baked shadows disappear and the whole scene moves back to dynamic shadows:

After some dichotomy I found that this comes from some actors here and there. In the provided images, the selected actor in the World Outliner (ROCK_Volcano02_A51) is one of those actors that break the shadows. On the first image its Cast Shadow flag is false, baked shadows are as expected. In the second image, the flag is true, and baked shadows are gone…
As you can see in the World Outliner, many other instances of this actor have exactly the same properties and they don’t break the shadows!
I don’t see any other reason than something blurry somewhere in the Unreal code like about arrays/actors count limitations. Or I definitly miss something (I recognize that the good/efficient way to bake lighting in huge levels with many actors is still blurry for me. )