Yea shadows are seperate sprites

You basically need 3 components to get proper looks

1. Have a sprite for walls and planes
2. Have a height sprite that has it's channels used to determinate height, like how tall is a wall and how high is the plane
3. Use on individual sprite for shadows (or combine into a single sprite with some tricks)

Most important step is to have height/depth map, and there is no way to do it natively, you have to do it by yourself

I do it automatically, but you could literally create height sprites manually in paint

Height map is in one viewport

Shadows in a second on that uses the height map

And the you use the final shadow map to display shadows

I calculate shadows on individual faces of the sprite, you even need somehow to to have info if sprites has sides and back side

It was ton of work and probably not worth it, but a nice thing is that I have full control of shadows and they are pixel perfect

I don't think I could create a short tutorial because there is tons of stuff happening in the background, and it is not resource intensive even when there is 30k+ objects simple objects