Shadows and the like are things handled by the game engine, and it just flat out doesn't do certain things. They would have to also make DX11 features work with features in the game engine to get any kind of graphics benefit, and since Skyrim was built for consoles in mind, that'd be a helluva lot of work for some fancy shadows or sun rays.
If we get anything related to graphics it would be that rumored texture pack. That in itself is far more needed than anything IMO, some of the game's textures are just insultingly bad/low res. But even with that picture I have serious doubts about it.
So some people prefer Bethesda to release a dx11 update because it's something that if Bethesda doesn't do,nobody is going to do.
Have you played games with dx11 on the PC,like Crysis 2,Battlefield 3,or Metro 2033 ?