The steps you described are exactly the same I did with my rendering, but alpha is still missing. I don't know if it is the video card - I was trying this at home with NVidia GForce II. Anyway, is it a silly bug that makes me go to Max (in fact it made me go to Max a long time ago).
By the way,Pawel, it is better if you use Targa instead of Tiff+. It comes without background then you open it in Photoshop and saves you several steps like loading selections and so on.