I've been using transparent background .psd files for a few years now. I had become accustomed to using clipped .eps PS files until I found the .psd files work well with Illustrator. I'm thinking it should still work in CS5.
I've been using transparent .psds for a few versions of Illustrator now, both with and without clipping paths. I want to say since at least CS1 or 2
The only time I have any trouble is when they overlay a spot color. It renders differently where the transparency interacts (just like the warning says it might)
We also had an odd bug with one of our rips here where the outer bounds of psds with clipping paths couldn't overlap or they would print all garbled.