There’s a default directional light (from the “Side Scroller Template”) in the scene. Shadows are being rendered both in the editor viewport AND with the camera set to “Perspective” when I click the “Play” button, but as soon as I hit “Play” with the camera in “Ortographic”, everything looks washed out, because of the missing shadows.
Here, I rotated the camera by 15° on Y and Z, for a better look:
I even tried setting the render output to Forward Rendering (from the project settings). It didn’t add any shadows.
I feel like I’m maybe highjacking an older thread from 2015… But the OP’s issue still doesn’t seem solved in 2017, in Unreal Engine 4.17.1.