I'm trying to use the Setup Tracking Scene button(in the Movie Clip Editor) with Cycles. While it works fine in Blender Internal, when I switch it to Cycles, I don't get shading or shadows. Is the setup for compositing in Cycles different from Blender Internal?
Yes it is different. I believe that for cycles you don't have directly a "shadow only" material. You have to do some tricks in material settings(with the node editor).