Reference threads:
http://www.renderosity.com/messages.ez?Form.ShowMessage=1677874
http://www.renderosity.com/messages.ez?Form.ShowMessage=1685390

SR4 Problem:
All lights added to Poser (4 or 5) other than the default lights get the Internal Name "spotLight #," where # begins with 1 and is incremented for each new light in the set. Like others (see threads), my P5 SR4 does not seem to want to render depth map shadows using Firefly for lights that have the Internal Name "spotLight #." The default lights have the Internal Name "LIGHT #" and their shadows render fine.

Work-Around:
The Work-Around is to save the light set to the library, then edit the .lt2 file to replace all the "spotLight #" entries with something like "LIGHT00#." I think it has to begin with "LIGHT", and if you have a default light as part of the set then you can add characters, like "00" to avoid a naming conflict.

I couldn't find a Python command to change the Internal Name of a light, only dial parameters.

I don't know why this seems to work, or if it's breaking something else. I tried it on a Global Illumination Light set and got all shadows with no ill effects. Try this at your own risk.

Good Luck!