Dim light lightly obscures an area and dim light can surely be considered a natural phenomenon.
"Surely?" Then why are we having this discussion?
Let me ask some questions to help identify the ambiguity:
1. Exactly what forms of light obscurement are NOT natural phenomena? The only one I can think of are certain spells, although even then most spells (e.g.
fog cloud) could be argued as natural. Maybe a gauze curtain?
2. Why doesn't the wood elf ability simply specify that they can hide in any lightly obscured area? If you include dim light, then wood elves can already hide in 95% of lightly obscured scenarios that you are likely to encounter in the game. Why would the designers confuse the ability with an ambiguous limitation that only applies 5% of the time?
3. What is the in-universe explanation for this ability? Is it magical? Why does the ability work for an elf in the woods hiding behind a sapling, but not for an elf in a house hiding behind a coat-tree?
I am not saying that counting dim light as natural phenomenon is wrong, just pointing out that in this case the RAW isn't totally cut-and-dried. It really depends on your perspective on the very purpose of rules. For me, I view 5e through a lens of genre emulation. So in the context of wood-elves and where they can hide, "any shadow anywhere" is too broad. If you prefer a more straightforward and logical approach, then yeah, counting "any shadow anywhere" as a natural phenomenon seems legit. Your answers to my questions above will help reinforce whichever view you take.