Hi Maru,
Sorry to be on your case about this. Any progress?
I have just learned some new info concerning this problem: The above procedure is only relevant when using Corona Image Editor. If I do the same procedure in the VFB (after rendering) I am easily able to save out PNG files (with the background missing, as desired) after changing the lightmix. (I have not yet tested if I can load a CXR file into the VFB and successfully edit from there)
Hope this helps.