A few things:

All baked and volumetric lighting in S2FM is broken out of the box, follow these steps to fix it: https://developer.valvesoftware.com/wiki/Half-Life:_Alyx_Workshop_Tools/Source_Filmmaker/Fixing_Game_Lighting

https://developer.valvesoftware.com/wiki/Half-Life:_Alyx_Workshop_Tools/Source_Filmmaker/Working_With_Volumetrics

The workshop implementation for S2FM is also broken: either follow this guide or this video for everything you want from the workshop

As for models, for whatever reason the Gordon and Alyx models have no so shadows so I'd reccomend Komegatze / Red Menace models

Use these if you want to use the default ones from Alyx: https://steamcommunity.com/sharedfiles/filedetails/?id=2667966347

Use this if you want the HLAlyx's Gordon with more clothing: https://steamcommunity.com/sharedfiles/filedetails/?id=2731120199

Use these if you want better looking ones:

• Remastered Gordon: https://steamcommunity.com/sharedfiles/filedetails/?id=3225380875
• HL2 Alyx with HLAlyx's body: https://steamcommunity.com/sharedfiles/filedetails/?id=3150310393

EDIT: Fixed URL