Mmm. Strange. It works for me. In Carrara it looks like the alpha channel is in the actual rendering (everything turns black with a tine light outline). But when I save it is an alpha channel called 'Mask' when I open it in Photoshop.
I must say I deleted some renders because I thought I had set the background color to black or something. Only after opening a file in Photoshop to 'see what I could make of it because no time for new render' I discovered all blackness was gone.

Are you saving a .psd document? Or maybe a tif or something that mis-interpretets (huh?) the information while making the resulting file. It sounds like some of the information that Carrara puts on screen gets transferred to the actual saved file.

I do not seem to be able to replicate this situation.