Okay IceX terrains work different. I´m not familiar with this tool, but I read several times here in the forum, that IceX terrains don´t show entity shadows for example and you have to use a special shader, that comes with this tool. But I´m not sure about this. Maybe someone, who knows this tool can give you some advice or correct me.
There was a thread about multitexturing some time ago, where I posted some pics, which show some of the outdoor lighting possibilities with the template shader.

link

I must say, I tried several shaders and this one was the only one that really reacted in a very simple way to dynamic changes of sun_light, -_angle and -_color. And in addition to that it´s sensitive to dynamic lights. My only problem was with mipmaps, but I solved this.

@derOmega:

You can bake static shadowmaps into the entity skin. Some modelling tools, such as Blender can do this. Most Multitexture shaders also support a static shadowmap. You can have dynamic stencil shadows on terrain- and modelentitys. If you don´t set the cast flag a model can also have a (stencil) shadow on itself. Models (but as a whole) are also affected by the precalculated shadowmap in a WDL-level ...