In UE 5.3.1 Build → Lighting you need to set Lighting quality to Production for CPU Lighting build which will probably take many hours. At the end of the build, you will still not have the shadows for the Spherical object in your scene.
Luoshuangs GPU Lightmass (LGPU) 5.3-1 patches for Unreal Engine 5.3.1 Epic Binary will use the multiple GPUs of your Nvidia Graphics card to complete the same Lighting Build in Minutes. The shadow problems above are fixed and the default can be set to Production quality by changing the values in a text file.
See the post Luoshuang's GPULightmass - #2489 by Jimbohalo10
On a Nvidia GTX 1080 Ti, this same test can be completed in under 4 minutes.
If you are lucky enough to have an RTX-3090 Ti or an RTX-4090 the people who have tested this are reporting times of 47 seconds as the fastest for RTX-4090 and 57 seconds for RTX-3090 Ti.
The Architectural Visualization, Arch Viz community has been using this for years.