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It is important to understand that what you finally see in the render is the contribution of the density of each cell, NOT particles directly turned into density. So how is the amount of density for each cell determined? Each cell looks from it's corners into the cell to see how far away a particle is in regards to each corner. Depending on the particle radius, density multiplier, and max final density - some density may be shown, or nothing at all.
This The above illustration shows one particle of a certain radius, and a cell of a certain size.a particle that happens to have the same size of its cell. But even in this case, it isn't certain that this cell will show any density, if the density multiplier and final density settings are too small, because the cell still has a certain distance to search before finding this particle. The longer this search distance is, the more faded the density becomes.
Lets see some more examples:
A 10cm large cube of particles, where each particle is 2cm in diameter, and each cell is 1cm in size (setting of 0.01). The cells are small, so a smaller search distance inside the cell is needed to find a particle, thus we see the density created by each individual particle in this case. Notice that we are not seeing the round shape of the particle, but rather the square shape of each of the cells. The cells (the "resolution") would need to be even smaller to start mimicking the round shape of the particles.
Here the cell size was increased to 2cm. Since the distance each cell has to search has increased, nothing appears in the render. We could raise the Radius Multiplier in this case to make the particles bigger, or lower the cell size again to make some density reappear. In fact we could also raise the cell size even more, and some density would appear again. See the next illustration for why this happens.
Now the cell size is 3cm and we start seeing some density again. This can seem very unintuitive at first, but looking at the grid of cells, it is clear that now that some corners of some cells are actually closer to a particle compared to when the grid was set to 2cm. So we start seeing a very rough, square representation of these particles, because the cell size is so large.