Shadow in preview window is generated in real time unlike scene shadows in viewport after baking, leaking trough walls is caused by low resolution of shadowmaps. if directional light is leaking light trough scene its usually caused due to wrong uvs or interpolation of the samples during light bake process, in that case you might want to tweak values in world properties tab especially when dealing with thin geometry. Also turn on shadows and in case where indirect light is not that important you can try using dynamic lights