Oh, no, that IS alpha i believe.
The only thing is that Photoshop interprets it as transparency for some formats. Simply because it's easier to explain to non technical users that something is transparent, than that is has an alpha channel they may never heard about.
Here's for example what you get when you save PNG out of max:

So, everything actually makes sense. Opacity is very, very expensive calculation. It does not just calculate some effect of a material. It calculates if ray has to evaluate the surface or pass through as if nothing happened. And that often happens more than once in a ray path. So any overhead in this very expensive and very often performed calculation will result in a significant slowdown.
Larger bit depth (16bit) = more data to process
Additional channel instead of standard RGB = more data to process
So it actually makes sense.
I usually use just JPEGs for my opacity maps. There i am sure it can not carry high bit depth nor it can carry any sort of alpha/transparency channel. That's probably why i never ran into any problems.