Not quite, I just suspect you're clearing it to an 'opaque' alpha value when you really want it to be cleared to a transparent one. You can try flipping the alpha to 1.0f/255u and seeing if that changes anything. Of course, all this is irrelevant if you're using an XRGB render target!
Definitely using an XRGB render target - if I return an alpha of 0.5 in the shader ithe transparency works but everything is half bright as expected.
When I clear, I clear z and colour and use the equivalent of D3DCOLOR(0,0,0,0). Wouldn't that just resolve down to a DWORD of zero anyway? So even if I used FromXRGB(0,0,0), surely that would still resolve down to a DWORD of zero?