Is there any way to prevent lights in linked files from behaving very differently? This is a light setup to imitate sun coming in through beams in a large space. In the working file there is a lot more going on but this is enough to talk about the issue. I don't think the particular light setup is the issue, but just in case, I'm including it. The file is attached.



This is how that light setup looks if you link the collection everything is in to a new file. 



Now, I had hoped to link in a bunch of buildings into a much larger scene, so that it is easier to make changes to individual buildings and to use them in other ways. Does this mean that can't work? Is there a way around this? Are we going to have to either append everything or build all lights in the master scene?
Instanced light don't cast shadows in 2.80, EEVEE doesn't support casting shadows from duplis (particles, collection instances, duplifaces, etc.). It is a know limitation of the current system.

In 2.82 and forward the shadow system has been reworked to allow this, so either wait it out, try the risks of using an experimental version, or you will have to make your light setup local.