what light source are you using? You can only produce shadows on fur from spot lights.
Here is my image below with shade on it.
Il explain how you do it, then yuo can change it to your hearts content.
1) create spot light. Position it to where you want (obviously behind the sphere)
2) Select the spot light. Now under Rednering menu, go to Fur > Fur Shadowing Attributes > Add to selected light.
3) Then, in your attributes editor, scroll down and select 'depth map shadows.
4) Still, under 'Depth Map Shadows' Make sure the 'Use Auto Focus' is off. i unticked the box above it too. your choice.
5) Scroll down further ...Under Fur Shading /Shadowing, make sure the drop down menu is on Shadow maps.
Then its all about playing with the following, under the light source att. editor:
Fur shading /shadowing
i did a quick try to show you. Im sure with a bit of effort, you could produce much better results
those who succeed are only the failures that never gave up.