Arcane comet doesn't have a shadow

Probably because arcane is kinda like fire, and doesn't create shadow.

Arcane itself is a source of light, look at Xerath, he could shine brighter than Sun Disc ever did. A source of light can't create shadow unless it is in present of a stronger source of light.

Probably because its not a very solid-esh ball of magic unlike something that's filled with complete darkness. Rather an ethereal form of something until it becomes active. Then it has a shadow over top of the landing spot.