1. Here's why

1.1 In Lumion version 11.3 or newer:

Light no longer passes through models for V11.3 or newer when using an Omni Light.  This version includes shadows for Omni Lights.

Refer to Release Notes, section 1.1 Shadows for Omni Lights:

• Knowledge Base: Lumion 11.3: Release notes 

OmniLights now have Shadows (for the quality setting) as in Spotlights, and a Shadow Exclusion Zone so that you can exclude shadows if the light needs to be within an object, such as within a bulb.

Where you need the performance of Omni Lights please use the alternative non-shadow lights such as Fill Light or perhaps Area Light or Line Light (depending on lighting requirements).

Note: Selecting Spotlight(s) in Build Mode (Version 12.0 and newer):
For performance reasons when selecting many shadowcasting lights, real-time shadow preview for a selection of lights is now limited to five (5) lights.

1.2 In  Lumion version 11.0.2 or older:

The light from Omni Lights, Fill Lights and Area Lights passes through models and does not cast shadows.

This is a known technical constraint and is also due to performance considerations.

Please use Spotlights if you require shadows from artificial light sources (see section 2.5 below).

Here is some general information about the 4 types of artificial lighting in Lumion 7.0 and newer versions up to V11.0.2.

2. Options for Versions 11.0.2 or older.

2.1 Omni Lights

This light type only lights up surfaces that are facing the position of the Omni Light. It renders extremely fast, and is ideal for areas that do not require very accurate lighting, e.g. farther away from the camera:

2.2 Area and Line Lights 

This light type only lights up surfaces that are facing the position of the Area/Line Light, but renders very fast and is ideal when lighting up large spaces:

2.3 Light Fill

This light type lights up all surfaces, regardless of whether they face the position of the Fill Light or not. This light type renders extremely fast, and is ideal for areas that do not require very accurate lighting, e.g. farther away from the camera.

2.4 Spotlights

The light from a Spotlight does not pass through objects and will cast shadows.

To see the shadows from Spotlights:

• Select the Spotlight(s) in Build Mode or,
• Press F8 to preview Spotlight shadows in Build/Photo/Movie modes or,
• Render a Photo, Clip, or Movie.

 This is done for performance reasons. This light type is slower to render and requires more memory:

See also:

• Knowledge Base: Why are Spotlights not casting shadows?
• Knowledge Base: What do the sliders & buttons in the Spotlight properties do?