I have a similar issue that I have posted on here: Tree shadows disappear with distance
I think it has something to do with the ambient occlusion or whatever it’s called for Lumen. As far as I understand, Lumen has replaced SSAO, RTAO, DFAO etc with its own built-in system and I can’t find the setting for increasing the tracing distance for this in particular.
However, I think you will find that you get direct shadows if you are using a directional light, that is at least the case for me. But you still lose the ‘‘ambient occlusion’’ with the distance. So it has something to do with the skylight/more homogeneous lighting and Lumen.