Maybe your system has different default values for shading than mine? Strange.

Try to set these states into the pass definition into the shader techniques:

sky.fx
Code:
ZEnable = True;           // Check the projection depth against the Z-buffer
ZWriteEnable = False;     // Do not write into the Z-buffer
AlphaBlendEnable = False; // Draw by substitution



particle.fx
Code:
ZEnable = True;          // Check the projection depth against the Z-buffer
ZWriteEnable = False;    // Do not write into the Z-buffer
AlphaBlendEnable = True; // Mix colors by the alpha value



I believe it has to be something related... let's see