Map Entities are static Blocks.Render your Blocks and use the static Shadows.The benefit is the speed (-> Manual->How to...->Use Entities->Sub Level).

Textures and shadow maps of the level and of map entities are preallocated in video memory at loading time, in order to maintain smooth gameplay. Textures of all other entity types are normally only allocated when the entity becomes visible.

And here-> Entity selection guide .

It isn t a Model or Block, it s a Level part.Therefore u can t render Shadows with Maps.