I believe it's because of SasLite (I am *assuming* that's what you are using -- you didn't say) being a post process filter. It won't render behind transparent objects, etc.
You will either have to render the volumetrics and fur in separate passes and composite them together, or get the full Sasquatch product from Worely Labs' website. It's not cheap, but is worth it if you do fur alot.
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Thanx,
Matt
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