That's odd, I also have CS2, and it works fine for me, at least the Alpha channel. Maybe you should try altering settings in your channels tab?

That's BS.

You can save 8-bit PCX files with any thing and it will save properly (I've done so many times in the past.. It works..), the only problem with other programs is they act stupid when generating a palette.

You have to manually fix your mask index colour in these cases.. but using Bright is recommended since it does it for you. (Assuming you use full uniform Pink or some other colour that contrasts the image)