So I thought by default skylighting casts shadows and objects self-shadow? The Toolbag lighting methods page even shows examples of this, but in a simple scene, no shadows? Am I missing something?
You need to add a light to your scene with "Cast Shadows" checked. The Image-Based Lighting(sky) does not cast shadows. You can add a Directional Sky Light by clicking on the Image preview box. Regular omni, or spot lights can be added by clicking Scene->New Light, or by pressing Ctrl+L
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Be sure to check out our Getting Started with Toolbag 2 guide, specifically the lighting section: http://www.marmoset.co/toolbag/learn/getting-started