because the icosphere and the plane are in different layers, they dont interact with each other. You can either:
1- have the plane and the sphere in the same layer
2- duplicate the plane and move it to the object layer, and make it a shadow catcher and a holdout in Object Properties > Visibility
For that, I normally add a plane (ground) reflecting the HDRI, scaled -1 in z axis, but then the problem is to match the colors between ground and hdri, since the ground now is now catching the hdri natural lighting... it's not easy to do it correctly, some times you have to tweak a lot of nodes, world and materials. It would be awesome if blender adds an ...