Why GpuRaySensor do not support intensity readings ?

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I would say that Nate already answered this question in the gazebo mailing list. Here is the content of Nate's answer:

Retroreflective values are stored in collision shapes, and these values are read by the CPU ray sensor during the collision detection cycle.

The GPU ray sensor uses a shader to compute range readings instead of the collision detection mechanism. This means the GPU ray sensor does not know what collision shape produced the range reading, and cannot get an intensity reading.

It would be possible to get the collision shapes using a selection buffer technique. We don't currently have plans to implement this. I encourage you to file a ticket. We can also help you work on this feature. In the mean time, use the CPU ray sensor to get intensity readings.