An artist of any calibre has to work with the tools they are given.  PJZ99, I have to admit, has a knack and talent for rendering eyes which I do not posess.  Unicornst's are also fantastic, I , personally, Can't seem to get that out of my renders.   Therefore, I rely on something else entirely.

I think I do understand your complaint however, but its not the eyelash shadow, but the LID.  Unfortunately, figures are what they are, and the eyes they come with are inherently PART of the entire mesh of the figure.  Therefore, unlike a real eye, they do not nessesarily "sink in" under the lid, but sort of, smooth into it.  Ultimately, this leads to that "lack of depth.".

The aforementioned suggestions of course, are the first and best way to go.   Eye props, which are seperate from the figure, will of COURSE give you more depth.   Also, the suggestions for rendering, and settings I have tried myself, and they are a vast vast improvement.  A little info (and playing with that info) gets you a long way.

However, if none of these float your boat, you can go for my usual plan of attack.  Postowork.  Every 3d figure, no matter how fantastic, could always use some.  Its in the hands (and computers!) of the artist, to do what works for them for the effect we are looking for.  So, here is my example to get the depth you are looking for.  I do not expect it to change your opinion, but if the eyes are giving you that much greif, its worth a shot!

Use the dodge and burn tools:

And there you go, instant depth.

Is this what you are looking for?