First off, cool coloring 
Secondly, when rendering in additive mode the alpha channel is left blank since there is no occlusion occurring between any particles (ie. they add together instead of blend together). Perhaps the method you are using to save the images is assuming it needs to multiply the alpha into the color channels and ends up clobbering the color channels (since the alpha will always be 0).
Can you provide some steps through the Max UI for reproducing this issue? Assume I’ve never used Max before, so that there aren’t any assumptions that prevent me from reproducing the problem.