I would think so. Are these drop shadows or something similar? I always put drop shadows on the bottom right (that is, lit from the top left). I think it probably ties into the same weird brain thing that makes us see inversion when a shaded relief is lit wrong. If it's a simple shape like a building, it's probably less likely to cause trouble, but it's still not quite right.
Here's a related example, attached: I often like to do a bevel effect on water (though usually much more subtle than in this example). If I put the shadow on the top left, it looks like the water is sinking into the land. If I switch it, it looks like the water is popping up. So, that's an example of lighting angle causing interpretation problems for something other than shaded relief. It's the same basic principle.