The shadow distance you’re seeing is limited by Roblox’s rendering system. To get the best results, set Lighting.Technology to Future (or at least ShadowMap) and make sure your DirectionalLight.Shadows property is enabled. You can also tweak ambient/brightness to keep shadows more visible.
Keep in mind: Roblox automatically shortens shadow render distance on lower graphics settings, so players on low quality won’t see far shadows no matter what.