The VFB will always show whatever background color or image is set for the scene, but those areas will also generate an alpha mask that gets saved with the image. Photoshop gets a bit weird about this and may load the PNG with the background visible, but the alpha is in there and can be extracted and applied, I don't remember exactly when it decides to get weirded out about it :)
A quick test with a cube shows that so long as Alpha channel is checked in the Max settings, it loaded just fine in PS with that already applied for me.