Just a guess*…
It sounds like you didn’t save a Scene with the desired shadow settings.
*Sharing the file would eliminate guesswork.
Shadow settings are (can be) a Saved Property of a Scene.
Set the model to your desired view & shadow settings and then create a Scene.
Make sure Shadow Settings is ticked in the Scene Manager.
Save the model and then update the referenced model in LayOut
File > Document Setup > References > (select the file) > Update
Make certain you set all four parameters necessary to display shadows accurately.
• Geographic Orientation — Relationship of True North to the model.
• Geographic Location — Latitude and Longitude
• Time — Year, Month, Day, Hour and Minute
• UTC Offset — The difference between local time and the Coordinated Universal Time standard.