As already mentioned (more or less), I think it’s due to the GPULM quality; that’s why you get “light gone” when making it at extreme. I also think it’s a very normal behaviour with that kind of HDRi, as the sky is very shinny too. I would say: More quality = more accurate bounces = softer shadows. Low quality = very few bounces = hard shadows with lot of artifacts.
To get that hard shadow with decent quality you would need a more concretrated light source, like this one:
