I couldn't figure out why I couldn't get particle effects like lasers and explosions to work, and then I discovered this bug. If you set the screen size to include the last column on the right, the particle effects won't work.
I made a small recording to test and demonstrate. In it, I started from scratch and put a simple explosion in the player event. When it runs, you can see the effect. Then I went and changed the screen size to include the last column on the right, and it didn't work. When I moved the screen back, it worked again.