This is simple. Shadow models are found in the collision file.
A shadow model in the col file is a low quality model that is the same shape as the car.
Regarding objects - Trees have shadow models, wires, and telephone posts.
Most buildings do not have shadow models.
So if you want GTA SA to be like GTA 4 with shadows very realistic - you would need to create a shadow model for every buildings col file. - a lot of work.
Regarding cars if the default cars do not have a 3d shadow (like player model) then you need to increase graphic settings in the GTA SA menu.
Your cars are using the boring "rectangle texture" as shadows because you probably have settings on low. Use very high and you will see cars have nice proper shadows