Have you switched 'sunlight' off? Normally, the thresh hold is set to the default 'sun' and if it is off or its threah hold has been changed shadows wont appear.
Or if you use shaders that turn it off.
Use the 'manual' Luke, the manual is your friend. 'Self reminder'
@KiwiBoy: He said he putted stencil_shadow = 2. And how does the engine put a shadow without set(my,SHADOW)? So of course he putted that also. And actually he said that he putted SHADOW flag at all models in his last post. Think about it, not to increase your posts . However, that's an advice.