You can't have multiple materials applied to a single particle (unless you do your own multi-sub material setup), so the limitation won't change.
Instead of using a Shape operator with a combined group, you can use an Actor operator and import the objects using a tyActor helper. That way the hierarchy of your particles will be retained as well as their materials (you just need to enable material inheritance in the Actor operator).
Instead of using a Shape operator with a combined group, you can use an Actor operator and import the objects using a tyActor helper. That way the hierarchy of your particles will be retained as well as their materials (you just need to enable material inheritance in the Actor operator).