Hey guys this is a problem I have not been able to figure out for a long time, I had the same problem in UDK actually.
When I make something such as a window with panes or a widows with bars it will do one of 2 things: cast an incorrect shadow (For instanced the bared window is casting as an octagon rather then a square window with bar shadows) or shine in light with no shadows (The room will be dark thus blocking outside shadows but on smaller pieces of BSP, bars, panes, etc will not show up.)
I have the the light-map resolution of my BSP set to 4 and directional light stationary with light mass set to 50. I have tried setting the mobility to static, mobile, and stationary. I have played around with everything from shadow exponents to cascaded shadow maps. After 5 and a half straight hours of researching and experimenting I decided to ask haha.
Thanks in advance guys.