Pointlights go through everything. Use spotlights to combat the issue. And if you have a lamp entity that you
have to place against a wall that will be seen from the other side, you can use this trick: use the same version of that lamp entity that has 'no_light' at the end of it, and place spotlights accordingly. I whipped up a small test map to demonstrate this. In this first picture, there is a regular candle_floor on the right (on the far end), and a candle_floor_no_light on the left, with the shadows (it looks nicer anyways, don't you think?).
And as you can see on the other side of that same wall, the light from the candle_floor bleeds through, but the lights from the spotlights does not:
And here is how it looks in-editor:
As you can see, it does take more effort to set up the bleed-proof lighting, but it's worth it. You should only do this if you absolutely have to place a light on an area where the player is gonna be seeing the light bleed through the wall, such as if there's a room right next door. Also notice how the candle_floor's pointlight bleeds through the table it is on, making an unnatural lack of a shadow, which is fixed by the solution I posted.
Frictional did a good job taking measures to prevent this effect from happening on some lamp entities, such as the candlestick, where the Pointlight associated with the lamp is actually offset from the center of the lamp, so you can place it against a wall and it won't bleed through as much. Make sure you rotate it so the candlestick's pointlight is OUTSIDE the wall, though! I've seen it happen many a time where the light is inside the wall it's trying to light, and it looks god-awful.
Good luck!