Actually its true that textures in WAD file seems to be 16 bits, under settings i can see "1024x1024x16", but i tested with addFolder option and the result its the same and the settings of the texture that way appears the same 1024x1024x16 in texture manager.
Well i am not a 2d artist at all but i see the properties of the texture outside WED and bits depth is 24 and vertical / horizontal resolution 96 ppi.

What i am doing wrong here please?

Maybe that helps (from the manual):

Textures can be used from WAD files or from folders. Supported image formats are PCX, BMP, TGA, and DDS. Normally, PCX or BMP textures are stored in 16 bit color depth with 4 mipmaps. For high quality textures in 24 bit color depth, use the TGA format;

I already tried tga format saved with 24 and 32 bits, but the problem persists, the diference is that in properties it appears "1024x1024x24"

http://www.conitec.net/beta/ad3d_alphadepth.htm

set d3d_texdepth to 32... does it solve your problem?

Sorry, but it doesnt solve the problem. You see, the problem only occours with single colored images / textures like that one on the test level. With other type of textures like from the standard.wad the transition is very smooth.
So i ask you, how can i create / fake a texture like that in order to have good shadowmap?
Thanks for your time.

With other textures you have the same problems I think, but it's much harder to see them.

Just to be sure: Yes, it says after having added a texture folder that the texture was y X z X 16 - but it isn't. What we have here is nothing but a Conitec-typical inconsistence in GUI creation... they simply implemented the same infobox no matter whether the texture is inside a WAD or a folder.
So, if you haven't - give it a try. Does the problem definitely occur with texture folders instead of WADs?

Cheers

Hi Matrix,
Actually the problem occours with single colored textures in both WAD files and add folder files. 24 bits bitmaps and 32 bits targa files appears n x n x 24 in properties dialog. The next screenshot is a screen of a added folder 32 bit tga file applied to a block. Dont look at it too much time because it is so stupid that can hurt your eyes..
Thanks.

Yeah that certainly doesn't look too good, after all.
Probably it has something to do with your graphics card/driver? I once had this with my old G4Ti4200 - no matter what I did, the Q3-Engine always ran in 16 bits colour depth for some reason.