When an instanced mesh that is added in the construction script is far enough away from the root component and has it's lighting baked the shadow will not render or will render incorrectly.
This was tested in 4.11 - 4.14 and confirmed still an issue
The instanced mesh's shadow doesn't get baked properly.
Instanced mesh's shadow gets baked correctly.
Head over to the existingAnswerHub thread and let us know what's up.