I have just encountered this issue… the bRenderInDepthPass flag seems to only work for StaticMeshComponent (and its derived classes). It does not work for ProceduralMeshComponent. A fix for that is a one liner that needs to be added to the GetViewRelevance method of the FProceduralMeshSceneProxy class:
Result.bRenderInDepthPass = ShouldRenderInDepthPass();
This unfortunately will require you to make a custom build of UE.