Are you drawing your billboards last? You likely should be based on the way the transparency part of the sample works.
If you read the documentation that came with the sample you'll see that for any pixels with greater than 95% transparency depth sorting is thrown out the window to get around the requirement to have to manually depth sort your billboards. You really should read the documentation for this one, it explains everything very well - specifically why it chooses to take the approach that is causing you problems.
If you find that you need better depth sorting than the sample provides you will need to manually work out the order in which to draw your billboards based on depth from your camera, which is not an easy issue. See
here for a good explanation of the issues involved.