You're right I found the problem. I automated my set render target call and forgot to check on depth stencil changes, and instead it only checked if the RT was changed in between. So in the end it was set to NULL when rendering the transparent objects.
Got it fixed now works great. But why do I not need depth write ?
Won't there be problems ?
Update: Oh I see...because we already draw them by their order from back to front we don't need the depth buffer to check if there's another transparent object in front of it.