I have managed to reproduce this issue in 4.18.3 and 4.19.2.
In order to make the Capsule Shadow disappear:
Managed to reproduce a bug of having Indirect Capsule Shadows Disappear because of the Skylight's Lower hemisphere values being too bright when using the old Volume Lighting Method Sparse.
If using the newer Volume Lightmaps they work correctly. (we can't use the newer ones because we have to stream, and last we were told they don't support Streaming yet?)
Sorry, don't know if this is an intended behavior, or pre - 4.19.
Result: Capsule shadows on skeletal mesh disappear
Expected: Capsule shadows will function
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-58925 in the post.