I tried to achieve this effect in cycles for a long time. I tried to do it through subsurface scattering but after several attempts I gave up. today I saw this video and realized what needs to be done through the light path, but it is still difficult for me (
I don't believe what he is talking about in the video is true in terms of physics. There may be some truth in human preception. Light dispersion is a thing that can be visible and also we tend to see any color of light as white if it gets really intense, but there is no such a thing as hue falloff with intensity. We are used to see colder(blue) shadows and warmer (yellow) lighting outside because light that scatters in the atmosphere tends to be more blue, than the one that comes directly from the sun so shadows are colder in color and when shadows are soft, we see hue gradient. So this is basically, same as two different light sources - as if you had a huge softbox that emited weeker blue light, and a spot light that is more yellow.
I think this is the solution: have two light sources with different colors. One should be for ambient reaching pretty much everything, another smaller, casting shadows, so that the shadows of this one are illuminated by the first one. Like for example I set world lighting to blue, then used a spot light that is yellow here: