MegaLights has its custom ray tracing pass, which doesn’t share anything with Ray Traced Shadows or Deferred Lighting outside of the trace ray call.
As for the missing shadows, likely that mesh in BVH doesn’t contain those holes due to automatic simplification. Take a look at RT debug view (or Lumen Overview) to see what’s inside the BVH. Play with Nanite fallback mesh settings in order to change that mesh. There’s also r.RayTracing.Nanite.Mode, but it’s quite slow (like not usable outside of offline rendering) and not well tested.
Demo uses only ray tracing, as this is the only scalable option. When you enable VSM for MegaLights it does skip some of the cost, but it still has the per light cost for the VSM setup (memory, CPU and GPU overhead for generating shadow depths per light). With ray tracing there isn’t such per light cost. No matter if it’s 1 or 1000 lights, it’s still the same ray being traced against the same BVH.
This information should be in tooltips (I just changed them a bit to make a stronger message).