I discovered that there must be some sort of bug with the newest UDK build (May 2012) unless a setting was added somewhere that isn't on by default. In an older build, I simply dragged the S_HU_Deco_SM_Chainlink02_B mesh (the chainlink fence mesh with a Blend_Masked material) from the content browser into the template map that UDK starts with. I baked lighting and the shadow from the fence would show up just fine. In the newest May build, adding this same mesh and building the lights leaves no shadow whatsoever. Any other mesh with a Blend_Masked material does the same thing, the entire mesh will not cast a static shadow. Anyone else come across this?