I'm using PSDs (or sometimes tiffs with layers), with Max2012. "Realistic Materials" checker box, and selecting individual layers with opacity from the PSD in the import dialog setup doesn't seem to matter from my tests :/
Are you talking about PSD transparency ? or PNG ? You just have to enable "Show Realistic Material in the Viewport" for that material. ( the blue checker box button ) For PNG you have to disable "Premultiplied Alpha" in the map'S bitmap parameters For the PSD you have to pick the individual Layer in File load'S setup dialog