I am having the following issue with my static mesh terrain (1024 lightmap resolution, skylight and 1 directional light in the scene):
Lightmaps (no dynamic lighting - directional light is set to be static; lightmaps directionality is on in the Project settings):
http://s33.postimg.org/tg2je443h/ue4_terrain_lightmaps.png
Dynamic light and no lightmaps:
http://s33.postimg.org/f0zbn6t31/ue4_terrain_dynamic.png
It looks like normal map doesn’t even accounted for in static lighting, regardless if the checkbox is ticked in the Project settings 
Funny thing that if I place a static mesh on the terrain, it casts proper baked shadow on the terrain. It might be some sort of self-shadowing issue with static lighting.