I found that the problem is not only with the shadows, but also with the reflections, as you can see in the video below. Yeah, the reflection disappears too.
In the video below I put a lampshade with two meshes (lampshade body and a globe mesh with emissive material) and inside the globe
I put a ‘point light’, all this in front of a mirror. You can see that when I move away from the lamp, both the shadow and the reflections (from the light from the emissive material and from the meshes) disappear. Note that when doing this experiment with daylight on, we see the reflections of the meshes disappear, leaving only the reflection of the ‘point light’.
Note: this is a problem with the new version 5.2, because in previous versions, with default settings, this problem does not happen.
Can anyone report this issue to Epic Game? The page with instructions for reporting a bug is this: Reportar um Bug - Unreal Engine.