FX 255 makes it completely invisible.
I thought it might be the texture not being 100% 0,0,0 RGB, so I created a new texture, inside Wally, that was all 0,0,0 except a few white dots. The effect was the same.
Could it be my ZHLT? If the 'How to make rain' tutorial can be compiled correctly by others, it's my suspicion that it is my compiler. I'm using settings directly from the example map.
This is an image of it.