Julien D

It's different in every studio but that's why standard file formats like Alembic, VDB, USD exists. Even though you can technically render Deep images out of Houdini and comp them with other Deep renders from another software, things never line up properly and you'll get issues with mattes/edges - and you will need interaction between 3D elements anyways for shadows, transmission, reflection, etc...
You should render everything in one software, whatever it is, Houdini, Maya, Katana, Gaffer, or others.

switch to non-sparse and you should be able to follow that tutorial.

What Houdini build version are you using?
that kind of bug should be reported to SideFX.