Shadow of the mesh changes after I build lighting

Then what’s the solution?

I can’t stop my work because of this stupid issue!

Even my minigun which has no UV (so no overlapping UVs, just plain materials) is BLACK!

You need proper lightmap UVs if you want static lighting to work at all. Either do the second UV set for the lights or use dynamic lighting and shadows.

How do I make a UV map exclusively for my models?

Say I have an already textured model with his own UV. Should I make another UV exclusively for the Lightmap?

Also, the minigun that you see has not an UV because the model has only plain color textures on it.

If the already textured model has an UV map that doesn’t have overlapping pieces, you can use that. The only requirement is that the UV should not have any overlapping pieces.

As said before, my model is just made of materials. A material in Maya is something that applies all along the piece of geometry.
Since I didn’t use any 2D image (texture) I didn’t need to make an UV for my model.

In short, my model has no UV. Should It have to make Lightmap work properly?

Yes. It should.