Rendered Image Output

As Layer

Your rendered image can be saved as a separate layer with its alpha stored as layer mask. Usage of a layer mask instead of layer transparency allows to keep the color information editable in Adobe® Photoshop® (you would otherwise loose the background color information that has black alpha).

As Merged Composite

PSD files created with psd-manager always contain the 3ds Max rendering result as composite data.  Composite data is a special part of a psd-file that usually contains a flattened version of the image.  Image viewers read composite data to quickly display PSD files without having to read each layer (this allows for fast display of images with huge numbers of layers). Compositing applications read composite data, if you specify "merged image" as import option.