Particle Effect System is not receiving shadows from Rect/Point Lights

Hi guys, I have never made a particle system before but I tried to make a simple one which is just some dust that sprays out from bullet collisions on walls.

It is all firing at the right time and looks ok for my first try. However the effect is ruined because no matter what light or shadow the bullet hits the particles seem to light up the same (ie. Not darker in dark areas of the room).

I have tried to websearch and also just to browse through the Editor for options but I cant seem to find any on my lights (Rect Light) or the Particle System itself.

The particle system itself is of type Particle System however in my C++ code I spawn it as an AEmitter. Not sure how relevant that is.

This video should show what I mean:

Any help or ideas would be much appreciated. Thanks