In Max, you don't need to do anything to get transparent pngs to work. So it's probably on the photoshop side. Did you enable the alpha channel / transparency when saving?
In photoshop, put your object on a layer, and remove the background layer altogether. If you see the grey-white checker pattern in some parts, that's where it will be transparent when you save it as a png.
I've been fooling around a bit. it appears to me, that in this particular case (transparency in combination with "face replacement"/cv.jit.faces) none of your suggestions will do.. due to the drawpict command I guess/my need for working with jit.lcd..
jit.lcd does not support alpha transparency AND there's no alternative to replacing cv.jit.faces' box with an image - am I right? (: