I'm not sure I quite understand why Lightsabers (a fantasy weapon of unknown, at least in the G-canon, composition) should not cast shadows.

In real life if you light a candle, you can see that the flame itself casts a shadow. The lightsaber blade, whatever it is, behaves as a solid object. It appears to block light even as it "glows" a bit itself, so it casting a shadow really doesn't seem that odd to me.

Sometimes they don't have shadows in the movies, but most of the time they do, as others have said, even in the prequels.

Likewise, I am not too excited about seeing everyone having a huge colored glow cast on their face from the blade they're holding (wouldn't that mean they're holding it too close?)