Light is really tricky. I'd be surprised if this sort of thing were running out of the box by default, the newest graphics cards on the market are starting to support raytracing which would do what you want. There are even dedicated raytracing cards coming out because of the intense amount of processing power they use. From my understanding even the upcoming ps5 doesn't support it.
You can colour your lights, if you did this a bit differently. You can "apply" the lens to the light and then change the actual colour of the light. Would that do what you needed? You're still not going to see advanced lighting effects, like mirrors perfectly reflecting light for example.
Materials with transparency are rendered last, which would be a reason why you're not seeing a lot of the effects like shadows you are looking for. You may have to simulate some of these types of effects, how best to do that I have no idea.