Like many of my posts I'm not here to argue for or against but to make a clarification. Rain in Oblivion didn't fall through anything because it wasn't a tangible 3d object, it was a screen effect.
Actually your wrong -> Rain in Oblivion was a Particle System -> NOT A SCREEN EFFECT <- and to be precise it was a instanced mesh particle that that had depth and position in the world -> just not collision. :/