Hello! Thank you for the kind words ^^
Yes, this is indeed a common problem, and depending on the effect, such as smoke, it might be better to draw the particle system manually at the desired depth and use a Direct Light with litType = LIT_EQUAL and intensity 1. This way, the light will illuminate only the depth where the particle is (you need to modify the light depth all the time in your case). And in fact, the Combine pass doesn't support depth because this is drawn after the lighting system is drawn (but on the same final surface).