Yep, what you are describing is the penumbra. This isn't penumbra in the game.The Sun is not approximated as a point light. In rendering, we use the sun as a quick directional light source - that is, it only has direction but infinite distance so that all objects are lit by it. It's an approximation and that kind of shadow will always be sharp. I'm talking beyond a point/directional light source. When I left film, we were using the real approximation of the Sun being a true area light. That is, it has area and we would integrate the light source across it's area to find individual points on the surface. Doing it this way will naturally give soft shadows (edges). The sky is also a light source and has to be integrated as well.
Assume your hand is a caster and the wall is a receiver. Imagine you have a light source in your room (the ceiling). If you put your hand really close to the wall, the shadow will be sharp. I'm not talking about the light source being further away. In games, it will not have a specific location but just a direction and intensity. If you move your hand away from the wall and towards the light source, you hand's shadow will indeed get blurrier on the wall. Sorry if I mixed up my wording. It happens sometimes.
I haven't gotten the game and this year I promised myself not to judge videos or screenshots of games. In order to really discuss it's graphics, I'd need to purchase the game.
Just judge it by the video man it makes no difference if your console is running it or if you're looking at a high quality video. Not like you can debug it if you are running locally. In the end you're just looking at the output in both cases. Don't feel guilty for doing that.