@NinjaCodeStudio.
That's just how alpha blended sprites work. They don't write to the depth buffer because there's no agreed upon logic for handling the semitransparent pixels on its edges.
Instead, 2D sprites usually use draw order to determine depth, and of the whole sprite and not individual fragments/pixels.

Could you test if the same thing doesn't happen with Unity SpriteRenderers and Shuriken particle systems?

If you really want this, you'll need to change the shader a bit. You could probably have a shader that writes to the depth buffer only when alpha is 1 and not when it's any lower. But this WILL result in jagged/pixelly artifacts.

PS
Welcome. Please do remember to always mention what runtime you are using. It helps everyone. :yes: