Your close.  IMO,  with the picture stating whats "true" then I'd have to assume there's actually 2 lights.   
One Orange light being projected from the 4 O'clock position onto the cylinder resulting in a square shape shadow.  
The other, is a Blue light being projected from the 8 O'clock position creating the circle shadow. 
If there is another explanation for this puzzle I'd love to hear from more people and chime in on what they came up with  :)