Well, I got something.
Following one of the first suggestions of the post I reduced the sizes of the textures from 1.000 to 0.100 – anything smaller than that I get a warning saying that the surface is too big to use shaded mode.
I got a much better shadow resolution. But the gradient is still an issue.


At the first image the textures are scaled down.
At the second one I moved the Light Ambiance slider of the map compiler all the way to 100 in spite of what the tooltip says. At the 0 position there are more gradients than at 100 but they are far from smoother.

In my opinion that's still not what we expected but I wander if we build a bigger level the shadowmap will look right.

That's not the solution I was hoping to find honestly.
I'm following a tutorial too, Grimber's FPS tutorial and he used version 6.22 of the engine, I'm using 6.60, and his shadows are excellent, just the way they're supposed to be. His textures are at their original size and there are much more tiles, so I assume his level is bigger than mine.
I prefer to think this way than to think that a patch broke something between 6.22 and 6.60

Anyway, that's what I found out.
I wish someone involved with engine development would give his opinion on the subject or shed some light on our ignorance.