The problem is that depth mapped shadows ignore transparency maps so I find they just don't look right with hair. I believe someone (I can't remember who I'm afraid - but it was in this forum) showed that the speckled effect seen on your first render is a result of some number being too small for firefly to cope with (i.e. obj's in poser are v v small compared to other programs and firefly was initially designed to render these larger obj's). When I get speckles in shadows i scale up everything in the scene by a factor of 1000, redo the camera, and then it all works fine.