eli0s - both lights are set to cast from 'all'. You need to change that to 'same tag'. Also note system expressions don't pick objects so comparing the tag and moving the Z order will always move both of them.
Damn! I didn't even saw those parameters... It's even simpler than I expected
Now, one last thing as food for thought. Is it possible to make semi-transparent shadows not build up when on top of each other (or have it as an option)..?
Look at the following example:
The desired visual result is the right one. But this is made by having the shadows 100% black on a separate layer, and lowering the layer's opacity. On the left side, the multi-z-ordered nature of the scene does not allow for such a solution, and the shadows build up, thus creating an unnatural result for a scene that it's supposaly lit from one directional source (the Sun) and has an ambient light (the sky) "breaking" the shadows...