Strictly speaking Microsoft made no provision for alpha channel in AVI files within the same stream. I think Adobe may have concocted that ability, not sure.
Stills frames (PNG/TGA) can also do this, within a quicktime wrapped PNG/TGA too.
A good web colleague has developed a codec for use only within Premiere/AE to store DV+alpha (4:1:1:4 NTSC, 4:2:0:4 PAL) in his own file type. Works realtime and keeps the data in its YUV format (clearly?). I don't think he has any plans to repeat his labours in Vegas, but maybe a directshow codec will come along. ( http://www.toastergarage.com ).
Why has it taken until now for anyone else to notice this?
Possibly because of the use of on-the-fly masks not held as raw data, in Vegas.