Yeah, I agree.
I export to PNG from both Photoshop and Max when using Construct.
Pencil supports alpha channels, but I've rarely used it so I can't be sure
I know it supports layers, so if it does support alpha channels, create everything on layers other than the bottom one, and when exporting to PNG, make sure the bottom level is invisible.
It should then import into Construct, along with a perfect alpha channel.