I had something similar happen only recently. I had the Parameters Properties Box open, and was selecting each light in turn in order to turn shadows on. However, the strange thing I found was that if reselected a light, the shadow which I'd just turned on was no longer enabled. Incidentally it wasn't the process of re-selection per se which created a problem. The scene would render without shadows (or at best with shadow from one light only) when I encountered this anomaly.