This is called the Shadow Blister Effect. Essentially it's a bit of an illusion caused by two penumbras, or fuzzy regions at the edge of an objects shadow. As they overlap, they seem to bridge because the prenumbras start to mix and create a darker shaded area. The eye doesn't consider the penumbra to be part of the shadow since its brighter than the shadow, but when they merge they are dark enough to be considered by the eye to be part of the shadow.
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