Merging actors with cast shadows disabled causes the merged actor to be unable to cast shadows at all. Toggling the Cast Shadows option does not resolve the issue.
This is seen in //UE4/Release-4.24 cl 11590231 so I am not listing this as a regression.
Cast shadows is enabled for the merged actor but it is not casting shadows
Merging actors does not care about actor settings when merging
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-97202 in the post.