If they are using a blend mode where you can see through them (they default to add blending) then no they are not written into the z-buffer. This is why polygons with alpha transparency are sometimes rendered in the wrong order when they overlap.
I think the solution is to only render your sprites once after everything else. They will be affected by the z-buffer, they just don't affect the z-buffer themselves.
I think the solution is to only render your sprites once after everything else. They will be affected by the z-buffer, they just don't affect the z-buffer themselves.