When you create an animated knob or something like that in 3d studio MAX it will automatically do the alpha channel if you chose the right file type (and have no background), not only that but it creates the filenames numbered the same way as scope likes them.
for anyone using max4 I can send a max project I used to make the free knobs on my site. it is all set up to render 32 TGAs with alpha etc.
In any case, when you have an alpha channel in an image, especially if output by a non 3D software, you should always test in OS mode to see what happens.
It is possible that you get some strange behaviours like a transparent device in some part of it's surface, not always where you thought it would have been.
Apparently , the alphas and TGAs of different software are different themselves.
think of testing under OS mode.