I think the shadows help add a lot of contrast to the sprites, but I would tone them down just a bit - shadows usually aren't pure black in reality. Instead, I would use your darkest shade (the dark purple and blue on the woman, the dark brown on the goat man). Even if that color is already on the lit portion of your sprites, emphasizing it more on the shaded parts will convey the idea of 'shadedness' just fine. If you're still set on the black, though, I would keep both versions of the sprites and reserve the shaded ones for scenes with particularly dramatic lighting.

The sprites themselves look quite nice. I might look into removing some of the color banding on them, though.