I went through the video and jotted down some times:
If it is composited at least the first 42 seconds he's actually on set as he's sitting down and then at 0:42 the set casts a shadow on his head and he walks through the set.
0:58 - slight shake on the dolly once it speeds up, probably operator error
1:27 - the camera moves to reveal the set and corgan turns towards teh camera slightly, this could be compositin
1:30 - the only cut I can see hidden in a sudden camera move
1:45 - corgan interacts with the set
1:53 - weird halo around corgan's head, suggests croma key
2:14 - shadow of corgan on D'arcyA
2:49 - shadow of the set on Corgan's head
3:17 - shadow of band members on the post
3:23 - shadow of Corgan on D'arcy
Remember this video was done almost 10 years ago, so take that into consideration as well, it's pretty innovative even if it's composited!
Yeah but the set element he "interacts with" is a column in the foreground,
And I think the three band members were shot in green screen and composited in wich would explain Cardigan's shadow on D'arcy.
Also shadows don't really mean anything thing. I can show you a clip of me getting run over by a car where, if you frame by frame it, you will see my shadow moving and following me on the ground. I can also show you a picture of me holding a RED with shadows from the flash on the wall even though I have never owned or held a Red.
The halow of light looks like an intentional power windows re-lighting in post type effect. It's kind of funny now that you point it out. When he goes behind the column, the halow of light where his face would be goes over the top of the column, lol.
I think the shadow that touches his head at the top is to mask switching between takes of the woman on the bench, she and billy go to different speeds after that, neither of them natural. So I think that shadow fascilitates cut to another take of Coreman, or her, or both.