I come more from the 3D CG realm, and when doing 3D work, you are attempting to create something that very much resembles reality. Rarely do shadows consistently fall in the same direction, not only because the shape of the objects can alter shadows a bit, but also because no light source behaves that way since their light is emitted radially from a single point in space -- or at least, in the case of a light bulb, a relatively small object, and the objects in view represent a significant variance in their respective direction from the light source. The only reason you don't see this type of behavior from the Sun is that the angular difference between two objects that are 10-ft apart here on Earth represent an indistinguishable difference in their direction from the Sun. The Sun and the Moon are the only common examples of this phenomenon in which the angle of the incoming light vector is consistent across our field of view, but light is so diffuse and scarce at night that you might as well not even talk about "consistent shadow angles" at night. Every day, we are presented with hundreds, if not thousands, of examples where shadows are not consistently cast in the same direction due to significant variance in incident light vectors or otherwise irregular lighting. (Examples: http://hebbylaya.deviantart.com/art/Stone-3d-Design-102879441 [d shadow off to left, n shadow off to right], http://fc00.deviantart.net/fs47/i/2009/216/4/b/3D_by_luiggi26.jpg (L shadow off to left, k, TM, and 3D shadow off to the right)
In Photoshop, however, reality is irrelevant. Name one thing in Photoshop that's realistic, and I bet I can find something wrong with the algorithm. In fact, the major reason to use the "consistent" shadows is precisely because Photoshop is nearly incapable of doing anything else. And don't get me wrong, I don't think the shadows that you see on the web look terrible, but they're not realistic either.
Even if Photoshop really could make realistic shadows, starting tomorrow, I don't think most people would use them because they wouldn't "look right" since we have already had certain ideas about what "looks right" for a web site or a logo engrained within us.
The bottom line is do what "looks right" because pretty much none of this stuff is realistic.
BTW, here's an example of a web site that is neither consistent nor realistic, but it still looks perfectly fine: http://us.battle.net/wow/en/services/ The "HOME/GAME/COMMUNITY/MEDIA/..." menu has a long highlight going across the top, but the entire centered div has a thin diffuse shadow around it, in all directions (if the light source were truly at the top, there should be no shadow at the top.) Furthermore, there's a little sub division under the menu that you might call the "content div". It's embossed a little, but instead of a long highlight at the top, it has two highlights at either corner, and then magically disappears after about 30 pixels. Completely inconsistent upon close inspection, but it looked perfectly fine at first glance!