I think this might be a bug. In the attached file the texture looks proper in rendered mode but in raytraced or when I do a rendering the transparency drops out and the object renders as solid.
When importing, using the “create pbr from files” I merely selected those files and I expected Rhino to put the transparency map into the correct slot. I guess if you accept the defaults Rhino defaults to amount instead of alpha channel. I think alpha channel should be the first choice for default, I don’t use those other options at all I always only use the alpha channel. Hope that can get tunned up.