With roughness, I meant Glossiness, sorry I use multiple render engines, it gets confusing sometimes.
So I tried what you said, using the same settings and savings a tiff but that does not help, the reflection is not visible in the file. When I set the Glossiness to 1.0 I keep the reflection but I lose the shadow. In the example you sent I see the reflection blurred but no shadow, there should be shadow in alpha channel as well right?
Edit: Also when I change the Glossiness the alpha channel in the VFB changes from having a shadow, or reflection, to having no shadow but having the reflection.... What am I missing?