It seems shadows are not working for InstancedMesh. Only one instance shadow is rendered, at the origin.
You can see in this interactive demo the shadow of one brick in the center of the tower:
Maybe this topic will be helpful: Shadow for instances
Instanced Mesh is already in three?
Seems so: Millions of facets with three.js? - #15 by looeee
Indeed, there seems to be an issue with shadow rendering. As you can see in the middle of the screenshot, the shadow of a single instance is rendered^^:
Or perhaps all the instances shadows are rendered at the origin
Should I file an issue then?
It needs to be implemented for depth and distance material, normal material too to make it complete.