Shadowmask mode comes with an inherent limitation: There may only be 4 overlapping Mixed mode lights at any given point in space. This is because the shadows are being baked into a texture - the shadowmask - which can only have 4 color channels. The check that determines whether lights are overlapping is not perfect and is a bit conservative, but if all lights on your screenshot are set to mixed mode with shadows enabled, it definitely seems like you have some overlap.
What you are seeing in the shadowmask debug view are the shadows from the shadowmask. Each color represents a different light. When you enable all the lights, you presumably introduce some overlap, which will cause the shadowmask to change in a rather unpredictable way. To illustrate, see this example where 5 Mixed mode lights are casting shadows onto a plane. In this screenshot, the scene has already been baked:
Notice how one of the 5 shadows looks noticeably worse quality than the others. This is because these 5 lights are overlapping, but we are only allowed 4 overlapping lights. The last light thus falls back to being a fully baked light. This can be verified by looking at the shadowmask debug view:
Since the 5th light fell back to being fully baked, it will no longer cast realtime shadows. If I add another object to the scene post-bake, this can be observed:
See how the added sphere only casts 4 shadows, instead of 5.
In the future, we plan to improve shadowmask index selection by letting users control the shadowmask indices for lights directly if desired, rather than automatically assigning them based on calculated light overlaps, as this can be a bit limiting for some scenes. There isn’t currently a supported way to do this, though.
On top of the limitations of shadowmasks, realtime lighting alone has some limitations as well. See this second example, in which all 5 of the lights are marked as Realtime instead of Mixed:
As you can see, shadows are missing for one of the lights. This is due to maximum “Pixel Light Count” project setting, which by default is set to 4. You can find it in “Edit > Project Settings > Quality > Pixel Light Count”. If I set this to 5, the missing shadow appears:
This is intentionally set rather low by default, as realtime lights with shadows are quite expensive to calculate, especially when using forward rendering, which is the default rendering path.