An easy sun would require going to WED's "Map Properties" option and clicking the "Sun" tab. Adjust the values to your likeness.
Your tree's leaves don't cast a shadow because (tell me if I'm wrong) you're using sprites. Make them models if you want them to cast "real" shadows.
A faker's way to do that with sprites is to paint your own shadow sprite and put it under the tree.
As for the sky issue, if you mean the blue engine background that blends with the sky (if there's one there), then I think you'll just have to find a workaround (like using a skysphere model that engulfs the entire level and then some).
For your "shadows on terrains" question, it's already been answered:
Quote:
yes, with stencil shadows.