Hi Nicola,
Sorry for not answering before. I have to improve my mail filters.
As for the shadows, currently only the spotlights can cast shadows. I have yet to implement shadow mapping for directional lights. As for point light, I won't be implementing them in the near future, because they are very expensive. Currently you can simulate a point light casting shadows by using 6 spotlights with different orientations but in the same point.
Also, you have to use deferred shading if you need shadows (WDFPSSimpleExample8 >> #initializeSceneRenderer)