Hi Numbat,
This isn’t a broken feature, but just a limitation. With 4.8 some of this has been resolved to better support larger worlds.
We have some simple examples on our Wiki Lighting guide here that may help: A new, community-hosted Unreal Engine Wiki - Announcements - Epic Developer Community Forums
There is also Distance Field Soft Shadows that would potentially work for shadows at further distances. You can read the documentation here: Distance Field Soft Shadows in Unreal Engine | Unreal Engine 5.1 Documentation
This feature was used with the GDC Kite Demo to get shadows at further distances. It was used in combination with Cascaded Shadow Maps.
In 4.8 there will be a feature added for “Far Shadows” that can be enabled per mesh to provide shadows at longer ranges. This would not be recommended for all meshes, but those that are needed at further distances can benefit from this. This feature will only work with Directional Lights though, so no support for Point or Spot lights.
I hope this helps.