Mental Ray Shaders and Alpha
I was recently having trouble getting the alpha mask for an object to show up when rendering an object in Maya through Mental Ray and using any of the Mental Ray shaders.
Apparently, that's just how Mental Ray rolls, but there is a very easy little checkbox to fix it.
Go to Render Globals, scroll all the way down to the Custom Entities group and check "Pass Custom Alpha Channel" and all will be good.