The alpha format is not respected by all output options. In fact, only the .psd, .rpf and .tga will honor it. The newer .tif formats will support alpha info but Carrara does not export to those formats. 

As for .gif, it has it's own transparent background option but tI can't take a look for right now because I have a render going! However, I've found finessing .gif transparencies is usually easier with something like Photoshop because you end up with smaller file sizes which is kind of the point of .gif web files anyhow!

Mark