Chipp Walters has a nice tutorial on how to render objects from packages like Keyshot while preserving transparencies. While Keyshot and many other packages will let you render an object with an alpha channel for replacing the background of the object, the transparency does not extend to any internal transparencies on the object. In Chipp’s example, a glass light bulb is rendered with the white background solid on the inside of the orb.
Chipp outlines how to render the image with a color background, and then replace the color with transparency, just like green-screening is done in video.
This is a great trick to have up your sleeve.