Okay, I think I'm zeroing in on the culprit but I'm not quite there...
As I said in my previous post, if I move the models far away in the scene, they render fine.
Next I tried moving the models just a little bit and saw that the weird shadow stayed in the same location:



So I reset Max and merged in only the single model. First thing I notice is when I create a new Standard material, it started at Material #46. The next one was Material #67. Usually it goes Material #25, Material #26, etc. So it appears that there are some embedded/buried materials in the model. A lot of them. Anyone know how to confirm that?
Next, I did a few render to textures while moving the model around and, yep, there's some object in there creating shadows when it renders to texture:



I rendered the texture of the plane and:


I only have two objects in my scene: the model of the buildings and the plane. But just to confirm that the ghost object is actually in the model of the buildings, I rendered one with just the plane:

So there you have it. It appears that some of my models have ghost geometry that is casting shadows when I render to texture. This ghost geometry stays in the same world space no matter where the actual geometry is (hence why is cast the shadow in the same spot no matter what geometry is there). And this ghost geometry sticks around within the model even if you export as obj, or reset XForm, or remove UVWs, or remove materials.
Not sure how it happened. I was optimizing this scene for a game engine so I was attaching and detaching a lot. Grouping geometry together. Converting to Editable Poly and then Editable Mesh. Stuff like that. I bet I collapsed a stack somewhere or deleted only an element of an Editable Poly or something like that and the information got embedded in the model.
At least, that what it seems like to my tired brain, lol. I've been troubleshooting this for about 12 hours now so I'm a bit burned out, lol. Gonna call it a night.
Any suggestions would be very much appreciated.
Cheers.