Quote - Let's say "artistic". ;) Fine art painters often use purple or blue shadows regardless of the light color (or let's say, especially with a warm, yellowish light).

Oh, I didn't mean anything negative by unnatural.  I was thinking more about the difference between "natural" light and special effects. 

The reason I made the distinction between "natural" and "artistic" is exactly what you're talking about.  The natural phenomena that, for instance, impressionists observed and painted was that shadows are colored in the inverse hue of the light.  Or, more accurately, the light's color is removed from shading when occluded.  Given warm sunlight or even candlelight and a realistic, naturally bluish or purplish sky, you get blue or purple shadows.  Which is totally different from, say, fauvists who used whatever color they wanted as long as it was saturated and high value. 

Essentially, yellow lights do cast blue shadows.  If you want the shadows to be emphatically but naturally blue, then the whole environment's ambient lighting should be blue.  And the solution is to make your IBL or environment sphere very blue. 

In fact, thinking about it, I don't think it can be done any other way.  Lights don't have "black" shadows, exactly.  They are a color, and other things get in their way.  So "shadows" are whatever color a surface is without the light on it.  Shadows aren't positive.  They're an absence of light.  What happens in the absence of light is ambient shading.  Which, again, is controlled globally by IBL and IDL.