Don’t know if I am the only one to have encountered this.
The problem however is when having a project that has the “Allow Static Lighting” option unchecked. When this is the case capsule shadows doesn’t show at all. They do however as with that option checked.
Capsule Shadows can be used with direct and indirect lighting. When bAllowStaticLighting is disabled this prevents capsules from casting shadows in indirectly lit areas since it relies on the volume sample placement from the indirect lighting cache. Without it the capsule shadows will not work in indirectly lit areas with bCapsuleIndirectShadows enabled.
However, Directly lit capsules will still use capsule shadowing with bCapsuleDirectShadows enabled.