Ok after messing around with it for a few days I found out that my last comment was wrong. I went into my skeletal mesh and looked under the mesh details and saw that my materials had Cast Shadows unchecked. Also, Your scene might be really dark as well. check Show>Post Processing_Eye actuation. Apparently my scene was insanely dark, so when i added my directional light the character looked completely blown out with no shadows. You might have to fix your other lighting after this. I wish that I had known about the Eye actuation before because now I have to figure out how to relight my scene.