I rendered out a multilayer exr and then imported it back in with an image node. The combine image socket looks ok with an alpha. All of the others, such as the direct diffuse and Emit all have black backgrounds and no alpha in the exr. I want to layer and am wondering what the workflow is to have it appears as an alpha. I had select transparent under the film tab before rendering.
Do you need an alpha on that layer? From memory, the way the layering system works in cycles, is using Adds and Multiplies, rather than alpha overs – http://wiki.blender.org/index.php/File:Cycles_passes_combine.png
If you absolutely need alphas on that layer, separate it off from the combined layer (separate RGBA), then use that to drive the alpha on a set alpha node. This will transfer the alphas from the combined layer to the Diffuse colour