Maya Hair and PaintFX have no regular Hypershade shaders attached to them, nor are they recognized by the light linker. There are several ways to get rid of these problems depending on what is bothering you:

• You can convert the Hair or PaintFX to regular geometry, such as NURBS or polygons. This will fix both issues, as the created geometric objects will be properly light-linked and will have an associated Hypershade shading group.
• By default, geometric objects that have no Hypershade shading group nor RenderMan shader node attached to them are rendered using the defaultSurface shader, which does not take into account any lighting. So, for the Paint FX or Hair to be correctly lit:
  • Select the Paint FX or Hair object.
  • Attach a RenderMan surface shader of your choice to it using the shader assignment panel.
  • Select all lights that are lighting the PaintFX or Hair object, and create a Maya set containing them.
  • Select the Paint FX or Hair object.
  • In the shader assignment panel, click on the texture button on the right side of the Attribs option menu to create a new geometry attribute node.
  • Click on the AE button next to the texture button to edit the geometry attributes.
  • In the Lighting panel of the attached geometry attributes node, select the object set you just created instead of <light linker>.
• And for the Paint FX or Hair object to properly cast shadows using shadow maps, the following should be done for each light source:
  • Select all objects that are required to cast shadows for a light source and create a Maya set containing them. Select the light node.
  • In the shader assignment panel, click on the texture button on the right side of the Attribs option menu to create a new light attribute node.
  • Click on the AE button next to the texture button to edit the light attribute node.
  • In the Shadow Objects panel, select the object set you just created instead of <light linker>.