I would need a screenshot of the entire Section Settings - Model Appearance tab to say for sure, but I think it's because of the Fade Distant Elements. If an element is faded (outside of the faded edge that you control in floorplan), it does not receive shadows.
Edit: It's not that, you do have the checkmark for faded elements to have a shadow.
Have you used zones in your rooms?
I am wondering if they are hiding what is behind them.
With your mouse please hover over the wall like you did in this screenshot here, but this time also caputre the info panel that is cut off. Sometimes there might be valuable information written in there.