That's an issue !
Ok, I've done my homeworks :
If I understand correctly, gamesas removed objects shadows some time before the release of Oblivion and they never activated this back. We don't know why.
The game engine is based on GameBryo which is capable of generating such shadows ( see Gothic 3 ).
They sold millions of Oblivion, Falout 3 and FO3:NV; so it seems like they don't care, so as most players. A few modders cares and they are still trying to hack the game.
And so we still have no dynamic shadows for buildings and static objects ( at least on the PC version ).
That said, I'd really love to know the technical reasons for this, if any.