I noticed this same thing. This was posted last year and no-one responded so I guess not many people have this concern.
My problem is similar. I am generating top down sprites in 8 (or more) directions. Each sprite exported seems to simply be a rotation of the initial rendered image. So what happens is the light source appears to move with the sprite rotation (eg, the shadow of a space ship antenna points to the right in one sprite and points to the left in the opposite one).
If each rotation was rendered separately we would see the shadows and highlights maintain direction as the sprite rotates. The only way I found around this is to manually rotate the model and then render a single image each time.
This is a bit disappointing to be honest. Still great for super quick modelling but I might have to render in something else.
PS. I'm only new to AF so if I'm missing something please let me know!