The spotlight comes from above and almost correct (with an absense of the proper drop-alike geometry distortion), it looks like the real stage, but the shadow of the object in focus actually do suggesting the spotlight comes from right side and it ruins the already flawed depth effect. Why they placed the person shadow wrong in the first place? Well, i'm sure it was the author's symbolic decision to not let the actor to overlap its own shadow. Why the shift was done left? Because the right side of the scene composition is where the narrow stage ends. The game designers got that artistic actor shadow shift completely wrong thus annihilating the already weak effect. What was done in game is just pathalogical illusion that can't and should not be analized or expained because what was done is not a depth but illusion effect.
How does the spotlight raise on the background without this happening? Edit: And if the blue light increases in diameter to line up with the yellow lines, it stretches farther out left than the pink light. And that depends on how far away the spotlight is from the stage. Whatever the case though, it will never be to the right of the pink light.
FWIW, a similar stage is used in the Sailor Moon S opening (0:30):
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