There are a few caveats with pfx shadows.
1. Use depth map shadows ( turn off other fake shadow effects on the brush, but leave "cast shadows" ON.
2. Turn off midDist maps and adjust the depth bias by hand.
3. Ensure that there is at least one non-pfx shadow casting bit of geometry for the light(could even be a tiny triangle with primary visibility off), or it won't cast shadows.
Also for directional lights you might want to manually set the shadow map focus attribute.
Duncan