Particles stop being updated before they get removed. This is fine for static particles, but for particles on dynamic objects it causes them to hang in the air. We should eagerly remove them for now, and figure out a better approach (like SE's particle parenting) long term.

MyParticleManager:

// Don't update particles that are too far from the camera
Vector3D effectPos = effect.WorldMatrix.Translation;
double distance = Vector3D.DistanceSquared(effectPos, cameraPos);
if (distance >= updateDistance)
{
    if (distance > updateDistance * 10 && !effect.Loop)
        m_effectsToDelete.Add(effect);
    continue;
}