Niagara will not work with Volumetric Materials.
Found in 4.20 Preview 5 CL# 4173640 and 4.21 CL# 4207835
Results:
The Niagara emitter will not show the volumetric material applied to it
Expected:
The Niagara emitter would be visable using the volumetric material
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-61771 in the post.