@everyone having issues, I've just tested the asset and everything seems to work just fine from my end. I'll update the first post with a bit more info to get you started, but i'll post it here below as well:
Make sure that the texture your using for your palette hasn't been properly set using sprite_get_texture or background_get_texture, and that your palette looks the same as the ones included, RFXpalettes_spr.
Also be sure the use for 3D check box checked on your palette.
The texture generated using sprite/background_get_texture must be assigned to RFXpal, a global variable that the RFX system relies on when calling the following functions.
The RFXpal (set by using RFX_set_palswap) and RFXshader variables are required by the RFX system to be set to the palette texture and the shader to use respectively. If these variables aren't set then you will likely get just a blank screen, same if you don't set the RFXshader variable to RFX_coldepth_shd or RFX_palswap_shd