Also, you can try to set the ambient colour swatch to black. For some reason even if you have a map assigned to diffuse, and diffuse/ambient are locked, it still takes that ambient swatch into account with alpha.
I've been using 3DS Max more than Maya recently, it's nice, I could definitely get used to it. It seems alpha can be a little bit of a pain though. The texture seen in this render is a 32-bit targa. The diffuse carrying the texture, and the alpha channel of the image is plugged into the 'Opacity' channel in 'Maps' portion…