In case anyone sees this in the future, I found a “fix” for this.
This assumes you’re using an Actor (and not a Particle System) to place the object in the level.
Simply add an Arrow Component to your actor hierarchy (I added mine as a child to the Root) and mark “HiddenInGame” = FALSE.
You may also want to reduce the Arrow’s size so it can’t be seen.
In my case, I had a CapsuleComponent as the Root and a few StaticMesh Components as children (plus springarm / camera). One of the StaticMesh Components had a translucent material applied and all the settings properly set (e.g. Volumetric Translucent Shadows = TRUE). The shadow would always be visible in the Editor / Simulation but never when Playing. Doing the above miraculously turned the translucent shadow on during PIE.
I have no idea why this works. I was having the same issue as OP and spent nearly a whole day trying to find a solution, and then today while I was working on something totally different, I suddenly saw the translucent shadows working and figured out how I did it!
When I have more time I will dig into the code to see exactly why this is working, but hopefully this will help anyone stuck and looking for an immediate solution.