An old thread (and you probably already solved it by yourself), but since I got here…
It’s a limitation of the render mode. “CINEMA 4D” renderer doesn’t support it.
Your option is to change the renderer to “Classic 3D” or “Ray-traced 3D”.
Also, it only worked for me with a opaque background: a solid layer or a footage / image behind. (Otherwise, the shadow catcher will appear pure black.)
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Cheers!