Physical Lights

Can you share a capture of your 3d object with light and what is your final goal?

Hard to say. The physical lights don't produce a whole lot of light by comparison with the equivalent lights that were in Photoshop. If you take a spotlight and crank the exposure to 15 and the intensity to 300% or so, you can get a visible beam on a suitable surface. At 100% and exposure of 10 or less, you won't see much except at very close range.

Best thing is to set up a few simple objects in a compact arrangement and then play with physical lights. Turn off the environment light and then just spend time noodling around. As goofy as that sounds, it's how you will build up familiarity and muscle memory for when you need them in an actual project.

You probably know this, but it's worth keeping in mind that any light only shows up when it is reflected or scattered from an object or the ground plane. Same with cast shadows. These will not affect the background image, which is more like a matte (or "mat") painting than part of the scene. Various bits of Sensei sensibility can use the background image (via "Match Image") to make an environment light, adjust perspective, and orient the ground plane, but where you see shadows on the "floor" of your background image scene, they are on the Stager ground plane, not the floor in the photograph.