When editing a Stationary or Static Light in such a way that the lighting becomes un-built, Preview Shadowing is enabled to give you an idea of what the shadows will look like when lighting is rebuilt.
These shadows are shown in the editor with the text "Preview" to distinguish them from pre-existing shadows as seen below.
If you test your game in the editor prior to rebuilding lighting, the Preview Shadows will disappear as the preview only exists within the editor and not during Play In Editor.
In order to generate shadows from the Preview Shadows, you will need to select Build Lighting from the Build option off the Main Editor Tool Bar.
You can disable Preview Shadows by un-checking the Preview Shadows Indicator option in the Viewport's Show/Visualize menu.
If you wish to tweak the Light Function Material used to project this text, it can be found at: Engine/EditorMaterials/PreviewShadowIndicator