Procedural foliage and foliage painted with the Foliage mode has no shadows. Some have shadows and some don’t. I found that placing the asset you are going to be painting from the content browser first will make sure the rest of the foliage retain their shadows, but once closing and returning to the project the shadows are now all gone. Regardless of the settings in the procedural foliage spawner or in the foliage painting section: The foliage assets do not have shadows.