Hello,
You need to turn off Illuminates by Default on all of the lights that you "dont" want to affect the PFX. Remember PFX is a post render process, so there is no way to light link it directly.
You can also use Depth Map Shadows to get a nice render, turn off Use Mid Distance, Use Auto Focus. Play around with focus, filter size and bias to get a really nice look.
Hope that helps.