A-ha...
The z-buffered Kleig light is shining on such a wide area that its shadow map hasn't the res to do a proper shadow for that scene. One pixel of the shadow map is the size of probably 100 pixels on the render image. The 25% softness is hiding what little shadow is there.
Set the "Softness" to 0 and then reduce the cone angle to 10° and you'll start to see something resembling a shadow.
For a scene like this where the light needs to stretch to the horizon, I recommend using a "sun" light instead of a Kleig light. Render times might be higher, but the scene will be easier to set up.
There are purely z-buffered light solutions for a scene like this but complicated to describe and set up.