Beware the stock Photoshop settings!

When you are saving the texture, look at the values, and make sure you are saving the alpha as well. I got caught this way with TGA files...the default was to have the 'ignore alpha' checked.

When you are saving the DDS, make sure it does not have a tick in the 'exclude Alpha Channels' box. Then make sure you are saving to DXT3 or DXT5 ( can't remember which....think I usually have DXT3 ) DXT1 has no alpha channel data.

These options should make sure you are actually saving the alpha channel you have made when the texture is saved.