Didn't realize I have to do that. Will check. Guess I can make PS do it every time if I change save option in preference. (Since I also use LR so cannot do save as.) Thanks mate.
Now I see what is going on. If I start from LR and select edit in PS as copy or copy with LR adjustment, the alpha channel won't show up. If I choose edit as original, the alpha channel is there. I suppose it is the way LR works as catalog holder.