Thanks redtec! Unfortunatelly you have to check twice (in the render options + g-buffer) so that Vue REALLY can save it; otherwise Vue won't save even if you see the alphamap and clicked on "save": it simply won't save "physically" (and it won't give you an error message either) if you didn't check the box in the render options.

By the way; I thought when you make your "Final" render it will antialias your pic. To my amazement I discovered that it won't texture antialias until you pick  some of the higher quality render options (Superior...or user picked)  doh! I didn't understand why my 2 first pics were so grainy but now I've learned!