That does look normal. Remember we are essentially zooming way in on texture pages here with sprites like this. It is like in a 3D game when you get the camera as close as possible to some texture and see the actual pixels.
One thing you can do to improve it is on the light_engine object in the variables tab, change the shadow_atlas_size and shadow_map_size.
The atlas size is the total size that will be used and you should simply use the biggest your platform supports. The shadow map size is the resolution for shadow maps and bigger will look better. The more you can fit into a single atlas, the faster performance is.
And again, the better aliasing the sprite has will help.
Another improvement is adding your own anti-aliasing as a post processing effect. As you know this is common and hides jagged edges in most games. You can use a post draw event somewhere after the game world is rendered and apply it (turn off automatic draw of application surface, etc.).