It does work but the casted shadows do not blend with the environment very well.  You really need to play with your lighting intensity and color to get it right.  

@Boni, your shadows are in the wrong direction contrary to how they appear in the background under the horse.  Unfortunately, the HDRI is too light and doesn't blend well with the horse or rider.  Clearly, you may need to do some post-work to bring some balance between your foreground and background.