I added some shadows to my scene and noticed that those shadows are even visible when another object is in front of the shadows and (usually) should hide this shadows. Just have a look at this screenshot:
With filters on, the last image is not rendered in the same frame buffer as the one that has the depth information.
So if you render something afterward that needs that information (like not drawing shadows if they are occluded by an object in the foreground), well… it fails like in your screenshot