A particle system in world space when a bone is its parent will not update its transform properly, and will instead act like its parent is at 0, 0, 0. In Unity, the particle system will show up properly, but in game the bug will occur.

The application of this is things like projectile weapons attached to hand bones. If you put the particle system in local space, every particle would move if you moved your hand, but if you put it in world space, the transform of the particle system is incorrect because of this bug.