You see the ‘Preview’ text on your shadows? That means you have to rebuild lighting. With dynamic lighting you don’t need to do that, which means it probably worked when you set to movable, but there are 3 cascades by default (3 shadow textures that swap depending on distance) which is what you could see with the 3 stages. That is normal and is considered an optimization. You can tweak it by changing the options in ‘Cascaded Shadow Maps’ section of your directional light.
If you want the shadows to stay the way they would on a cooked game then build the lighting and look at it. Increase the lightmap resolution on landscape if need be. What you are seeing right now is just a preview from within the editor, which is dynamic (the engine does not build lightmaps on the fly).
Keep in mind it takes some time to bake the lighting. Depending on your level setup, lightmap sizes, quality and your PC power it may take long. Start with preview quality, then go higher if you need. The quality setting does not affect performance of the gameplay, it will only affect the quality of final lightmaps and building time.
You can choose the quality of the baked lighting here:
