We study two reproducible failure modes of deep multi-agent reinforcement learning in continuous-time pricing markets: (i) tacit cartel formation between competing DDPG agents, and (ii) actor--critic instability at high event rates. We instantiate both inside a single CT-MARL benchmark (Poisson-clocked price updates, observation latency
δ, interior-optimum logit demand), show that synchronous DDPG agents reliably trigger Failure Mode 1 with collusion index
Δ=0.69±0.11, and quantify a partial microstructure fix: asynchrony alone cuts collusion by 48% and adding latency drives it to a minimum of
Δ=0.28. The fix has clearly documented costs: it is partial (
Δ remains supra-Bertrand), it is non-monotone in
δ, and it does not survive Failure Mode 2, which emerges as DDPG critic divergence at
λ=5 and corrupts the phase-diagram cell at
(λ=5,δ=1). We accompany the scalar collusion index with trajectory-level trace diagnostics that expose the within-episode signalling collapse and the post-shock non-recovery.