Research into the internals of the networks have shown that they figure out the correct 2.5D representation of the scene before the RGB textures (internally), so yes it seems they have an internal representation of the scene and therefore can do enough inference from that to make shadows and light seem natural.

I guess it's not that far-fetched as your brain has to do the same to figure out if a scene (or an AI-generated one for that matter) has some weird issue that should pop out. So in a sense your brain does this too.