Normal smoke grenades should cause shadows in the astral. Likewise, water isn't invisible and neither is clouds nor ice. Things don't need to be living to have an aura, just living things have brighter auras.
If that were the case, the Astral would constantly be opaque. Or you'd be seeing a lot more clouds wandering around.
Whenever someone is smoking a cigarette, you'd see an aura emitting an opaque blob every few minutes.
When someone eats too much Taco Bell, there would be an opaque blob following them to the bathroom.
When the lady in the mall tries to spray you with a sample of the latest fragrance, that too would be an opaque blob.
If you're saying "smoke is substance, so it casts a shadow" then everything airborne has some degree of substance.
Or... remember that the Astral plane is a magical realm, and not everything makes sense to our mundane minds. Life, thought, and magic hold sway over there, not physics. And something as transient as a randomly occurring puff of smoke is probably not going to manifest. Not when a more common sight is the cloud of gloom and dread hanging over cubicles on Monday morning when nobody wants to be back at work.