They follow the terrain. If see a shadow turn you know the ground it is on changed, going up or down from where it was.
People who didn't believe we landed on the moon would use non-parallel shadows of different objects as proof that there were multiple lighting sources rather than one shadow going slightly up or down hill.
From Apollo 14
If you can find that episode of Mythbusters (Episode #104) they had a mockup of the moon's surface duplicating the effects of that photo.