Bricks do not have shadows because that would require a mission relight every second or so, or when a brick is placed. Don't forget that mission lighting actually takes a second and that's about 20 minutes or so when someone decides to load their BMP2SCRIPT macro or load bricks from their computer. They do, however, have shadows when you are taking a screenshot. Maybe try finding the screenshot commands and see whether you can get the shadows part, but it'd probably cause you massive lag as it calculates it every time you move.