There are several possibilities to consider …
(1) “Hey, this is NOT ‘real life!’” (And that’s a good thing.) Some types of lamps don’t cast shadows. For instance, spotlights do. (And, some magical kinds of lamps cast only shadows!)
(2) The material has to be set to “receive shadows.”
(3) The object that’s casting the shadow has to be visible to the light, and set to “cast shadows.”
(4) There are several algorithms that can be used for shadowing … basically cheap vs. accurate.
Any of these things can affect shadows.
So, as you can plainly see, “shadows are special.” And one reason why they’re special is that shadows can be expensive. A lot of your render-time can be soaked up in shadow calculations, even when the result of those calculations doesn’t buy you anything (at all, or that you care about) with regard to the finished image that you want to produce.