Linking a CAD file to Unreal allows you not only to place that project in a photorealistic environment but also simulate lights and shadows in real-time. To do so, the first thing to do is activate shadows from the Mindesk drop-down menu.

Now your Rhino and Grasshopper geometries will cast shadows when hit by Unreal lights. From the World Outliner, you can tweak Y and Z rotation of your scene light sources (or positions for point lights) to see the impact of your model in the new lighting condition.