Yup.  Saving as a .psd and opening that in PhotoShop -- same way I've been doing it for years with full success.    I don't think I remember the alpha channel being displayed in the render room before, either.  I seem to recall finding it when I opened the saved document in a paint program.

I'd do a little lab if I thought it was worth the time.  Better just to say "okay, one more thing Carrara doesn't do right" and just move on.