This Shelley Plus is a power meter, too complex if you only want to know the state of switches. But you can connect this meter before the switches, where there is power, if the switch is open, the current will be null, and you know that it is off.
Another idea could be to put something in parallel with the lamps that send a periodical signal. If you receive the signal, the lamp has power, if not it is off. Of course, you have not great time resolution, and if you do not receive the signal, maybe is some loss of signal, not that it is in off state.
Must be wifi? Perhaps something with an esp32.