It is not possible in UE4 and that part of the documentation is from UDK(UE3) so i guess they havent updated it. UDK | Lightmass shadows

It does work in UE4, but only from a light whose Mobility is set to Static. Stationary lights don’t support it and that’s the default light Mobility. Note that it’s under ‘Features for Static Lights Only’ in the UE4 Lightmass doc. The same was true for UE3 but the doc didn’t reflect it.