If you take a look at the screenshots, there appears to be a lack of self-shadowing. I know the PC version of Oblivion has self-shadowing. I'm thinking the screens are from the console versions.
Pretty sure they mentioned that there is self shadowing in skyrim (and I've learned that on these forums that I said "Pretty sure" meaning that I am not stating a fact) They definitely said that every object casts a shadow. I don't see a screenshot in which you could really discern whether there is self-shadowing in the game but there was self-shadowing in Oblivion so it stands that there should be in Skyrim as well.