Your PNG doesn't show a white environment, but a PNG saved with alpha so that there is no environment (just 100% transparency where the environment would have been). Depending on what you use to open the PNG, and what settings you have in that program, it may be ignoring the alpha and just showing some default color there.
More info would be good, e.g. when you say you "added the environment", what do you mean? An HDRI added to the Environment Map in the Max settings? Something else?
BTW, attaching the image as shown in Photoshop when loaded, where you can see the alpha. If that is the issue, when saving to PNG, do not enable alpha, or save to something like JPG that doesn't support an alpha channel so you can't accidentally save with one :)