I’m having the same issue (UE 5.0.3).
I’ve heard about using Bounds Scale before but I was told that it was a bad idea to mess with that setting. Moreover, I was lead to believe that enabling the Render Custom Depth setting in the actor was supposed to disable occlusion culling for that particular actor. And yet, it looks like this is not working for sprites.
Going back to the Bounds Scale, the documentation mentions something about the shadow quality being degraded. What does it means? How does the setting affect the shadow? Does the quality degrades more with higher scale values? Since sprites have no depth, the bounding box itself is only 0.5 deep. So to have a custom depth that still works at some distance, the scale must be quite big, like 4000x just for a 20m. With such a high value, it makes me wonder if this is a good idea.