Hello. I just saw this post here. As a reference most of us Softimage users are at http://www.si-community.com and the mailing list. The community might be the best place to ask this question.
For right now - I am not in front of Softimage at the moment - but it could be a couple of things.
1.) Make sure your options that are set for the Render Preview render are correct. What I tend to do is to “check box” the option to match the Main Render Scene under Preview Options (It is at the very top of the PPG that opens after you click the Preview Options Button. Then, any changes you make to Mental Ray will take effect in your Quick View) Doing this matches and shows changes that you make in the Mental Ray settings, otherwise it wont. Alternatively, you can also use the “Preview” button that renders using a Preview window - that matches the main Metal Ray settings automatically.
2.) Make sure your lights are set to Cast Shadows. I would also delete your main default scene light when you are setting up your lighting, it could be over-powering your scene, and is usually always best to get rid of that when you are doing lighting anyway.
3.) By default, your objects are set to cast/receive shadows. If you select one of them and go to the explorer and then click on “visibility.” If it is turned off, that could be the problem as well. Also, if you made a partition for your objects and put an override on their to exclude shadows, and you might have forgot about doing that - double check that too.
There are some other things too that might make a difference, but I would try looking into the above first. Come join us on the SI Community as well - there are more of us there.