I also have the same problem with Unreal Engine 5.[2]
I found old video for UE4 where author told what to do to achieve translucent shadows we need to set for the material:
blend mode - translucent
we need to be sure that our material have the base color.
That is all what video have, which never helped to achieve the goal.
So, I also found that my Niagara particles must have checked checkbox of Cast Shadow param, material must be two sided, and must have in translucency tab lighting mode as Surface translucency volume (or surface forward shading, neither helped) which in combination of previous deeds never helped.
I also found article on UE documentation
It said that it works with Fourier Opacity maps, which I don’t understand with my current knowledge.
I finally got it.
So after I have checked Cast Dynamic Shadow as Masked - shadows finally appear.
Be sure to play around Opacity Clip Mask, and the distance of your particles for opaque surface.