Changing from RGB to grayscale makes image transparent. My understanding is that they are supposed to come out opaque. Do I have some setting wrong somewhere?
Saving and image with transparency as a Jpeg the image Transparency will not be preserved for that Image File formats does not support transparency. Some File format support transparency. Photoshop's Background layer also does not support transparency. However a Photoshop Document is not required to have a background layer. Gray-scale and RGB mode supports transparency.
It would help to see a screen capture of your image and your layers panel.