In DirectX 10 or DirectX 11 there are no shadows present in public areas, regardless of the settings selected in the options. Shadows do work normally when entering a dungeon, though. And they work normally in all cases when selecting DirectX 9.
We've reproduced this on two seperate machines.
System 1:
Intel Core i7 980X
8GB DDR3 RAM
nVidia GTX 480 1GB
Graphics settings in-game set to: Ultra High
System 2:
Intel Core 2 Quad Q9550
4GB DDR2 RAM
AMD Radeon HD 5770 1GB
Graphics settings in-game set to: Very High