Are you sure you have a directional light source in your level, with “Cast Shadows” enabled? Also on your mesh instance in the level: make sure, that “Cast Shadow” is set here as well as checkboxes for “Static Shadow” / “Dynamic Shadow”.
Also, if your mesh is set to “movable”, you can set your directional light to stationary or movable to get shadows. The building most likely would not be a movable object, so setting Mobility to static and building lighting with correct shadow settings should solve problems.