While unit particle effects work fine on units (ie: the spirits in Wciows beta of his undead mod or the Indian's fire golem), they don't seem to be working for the deaths. The particle effect simply isn't displayed... For example, start a game with the indians, kill their tipi, and compare that in MegaGlest and GAE.
Relatedly, units that are created without moving don't start with particles until they move (such as those made with Lua or as a starting unit).