Double speed z is disabled if the fixed function alpha test is enabled OR the shader containts a clip instruction. If you are rendering a mix of masked and non-masked objects into a shadowmap, you definitely want to render the non-masked ones first. Double-speed z is a misnomer, as it can be a lot faster than that, as the shaders are not executing any code at all in this mode vs. the masked case of having to run whatever code is hooked up to determine the alpha mask (and that almost always includes having to fetch some textures, do some math, etc).