If I render out of C4D as a TGA sequence with alpha channel ticked and also save a compositing .aec file then open the .aec file in AE I can see that there is indeed and alpha channel so when I export from AE and select RGB+alpha I do get my export with an alpha BUT if I then export out of C4D with the same settings but now enabling Mulit-Pass rendering and the straight alpha ticked and then open the .aec file in AE there isn't an alpha channel there although when I watch the render in C4D there is. Why when I export from AE and select RGB+Alpha do I not get an alpha channel. I seem to be going round in circles I really don't understand what is happening.
It's in fact there in AE, you just won't see it until you take your comp with all of the multipasses, precomp it and matte it with the rgba pass or whatever other pass you created for an alpha. The multipasses are additive and therefore kill your alpha in AE. I don't think similar problems occur in Nuke and could check for you tomorrow. Hope this helps.