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
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
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