Yovav,
OK, trying to figure this out.
I've seen some issues when changing these options and an invalid option has been selected on another tab (for instance, add an empty Elevation Surface) - then whatever you changed doesn't take effect, because it was committed with an invalid property change (ugh).
So if you just
1) hit New Global Scene
2. Go to elevation properties
3. turn on shadows, hit OK.
this doesn't take effect?
What if you instead do new blank project, then go to Insert tab and hit New ->Scene?