No Alpha Channel with MR Materials
 

Hi everyone. I tried rendering a simple scene with Mental Ray and a Mental Ray car paint shader applied. I saw nothing, until I added a light. But even then when I render, it doesn't give me an alpha channel. If I use the exact same scene but with a normal Blinn or Phong, I get an alpha, so I suspect I'm missing something with using the MR Materials.

Has anyone come across this before? Any advice would be helpful. Thanks.