@Dymdez : Which parallax script do you use?
If it allows you to change the parallax z property you should set it to a value bellow 0xC000.
@TheXiangyou : Yes I know it's kinda the normal behavior, contrary to those built in, here shadows are not above but below everything, that's why you tree appears above the shadows.
For now if you want to fix it the only solution is either to do your shaded trees with events, or to shade them directly into the tileset.
@SakuraMiya : I'm not sure to understand what you mean but no this script does not have overlays.
If you use an overlay script with some chance it should be compatible without having to do anything special.
On how to add lights you should read the documentation and/or have a look on the demo.
@JarvisTube : Yes, lights are deleted when you leave the map, that's normal, you should create them every time you go back.
There is several ways to do it, with a parallel event or <setup> tags as showed in the demo.