When a zone’s sunlight direction is set, the shadows are not recomputed. They stay related to the default sun direction. (You can see it clearly in this picture. The sun is aligned with the skybox one, the dark sides of the models are coherent with that sun direction (see the rocks in the background) but clearly not the projected shadow (see the shadow of the monument in front).
But there is a good news… Oculus has finally fixed the bug that was making dance the shadow in HMD.