Create transparent material that casts shadows

Yeah, try both, in fact it might be a neat idea to try and make the 3d model for this like a sandwich, like Ryan said by having two separate 1 sided glass materials with the mesh in-between.

In fact, if you made the 3d model like a sandwich
-> way normal is facing
| air gap

<- one sided plane | <-3d or flat wire mesh-> | one sided plane ->

one could make use of instance static meshes in addition.