r.WeaponLightShadows 1
Setting this fixes all that - now your weapon lights will cast shadows on the environment appropriately! It even affects the IR light too. Unfortunately you need to enter it manually each time you start the game (although the UE4 console has a command history, just tap the up arrow). Once you do that it should stay enabled through any map changes until you close the game. If you happen to be using a flashlight when you enter the command, you need to turn it off and on again to get the effect. There is a minor impact to performance - I saw approx 5% framerate hit compared to the regular light. And to disable the effect, just do the same command again but replace the 1 with a 0!
It would be nice if this was included in one of the Very High settings presets (probably Effects) or at least was made available as one of the advanced options. Oh well. Hopefully they don't remove it down the line...