A couple things. It sounds like you are unnecessarily RErendering the files, which adds a step and could cause trouble although that might not be it. When you Render to Picture Viewer, you are rendering AND exporting the files in one shot. No need to "Save As" from the Picture Viewer if that's what you're doing. Also, I don't recommend to my students that they drag and drop files into AE as the Import dialogue gives some options that might be missed otherwise.
Outside of that, I can't seem to make this NOT work. In Picture Viewer, when you select one rendered frame and go to the Layers tab, does it show the alpha channel properly?