Depth based shaders won't work.

Simple as that, any shader that uses some kind of depth won't work, like MXAO, DOF and FOG shaders, and this happens in NVIDIA Freestyle too. Either the whole screen is black or there is simply no change on the game.
Any guess on what might be happening?

Well, probably because there's no access to the depth buffer. Depending on the game it might be normal behaviour. Which one is it? If it should work according to the games compatibility list, standard procedure is to turn off AA or in some cases other effects. Anyhow, the more info we have the better we can help.

Yes, we can help, but we have to gather more infos.

You also need to know that the depth buffer retrieval does not work on an online game when network activities are detected by Reshade, and, as mentionned by Uncle Crassius, it does not work when MSAA is enabled.

Yea, what game are we talking about here?