The TECHREF has this to say about "Render as lines" (nothing that indicate that shadows shoukdn't work):
"One of the objectionable artifacts of computer rendering is the broken-up
appearance of very thin geometry. For example, the ropes on a Spanish
galleon are necessarily long and very, very thin, which causes them to
break up and temporal alias (chatter) during an animation. This
phenomenon results from the fact that rendering resolution is not infinite.
Animation:Master’s a-buffer renderer alleviates the problem somewhat but
the discrepancies often still manifest themselves.
A "line" geometry type should be used for long, thin lines; like whiskers of a
cat, or antennas on a butterfly. When you are modeling, use splines to
represent the long, thin geometry (don’t make valid patches). Then group
the control points that make up the long, thin geometry and name the group.
Animate the splines as you wish. (The "Line" option should not be used on
groups that contain patches). When this property is "ON" the surface
property contains the options you can use to set the lines look.
These options include Color, Width and Transparency. Randomness,
which controls how squiggly the line is. Randomness Scale, which controls
the size of the squiggles. Glow, which with randomness can give the effect
of lightning."