You can parent one figure to the other, but there is another way that you might find easier. Load a Poser 'SQUARE' prop, then parent both figures to the square. You can then move both figures by moving the square. This can be a more flexible approach, as you can move either figure by its self, or move them both together by moving the SQUARE.

You can hide the SQUARE prop: From the menu bar; Object > Properties > Visible.

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There are many problems with shadows in Poser. Here are some things you could try:

Make sure 'Casts Shadows' is checked in the Render Options.

Turn off 'Casts Shadows' for all lights except one. Lights can fill in shadows cast by other lights. With only one light set to cast shadows, make sure that its 'Shadow' dial is set to 1.000. Increase the value on the 'Map Size' dial, say to 1024.

Select props and figures that don't actually need to cast shadows (the room and GROUND, for example) and turn off 'Casts Shadows, in their Properties. With less things needing to cast shadows, the shadows of the remaining things can become stronger.

Lastly remember that you will never see shadows in preview, only in the rendered image.