Here is a comparison, using Aery Soul's "Jolie Fille" hair as a test object.  I was wrong in my initial post regarding transparency, but as you can see, the quality of the 2010 render is not good, IMHO; that aliasing explains the weird fringeing effects I was getting when attempting to use such a render in Photoshop as a selection mask.  The render on the right was produced in P7, using Semideu's depth cue plugin.  Both renders produced at maximum Auto render setting, from the same scene file.

BTW - if you save your 2010 render as a PSD file (having checked the Z Depth option, as the OP suggests), you get a PSD image with the Z Depth render on a seperate layer.  If you save it as a PNG file, you get two images saved, the main render and a separate Z Depth image.  I don't do manuals either!

Here's what I meant in my first reply about the transparency not rendering properly - the wing feathers have a tranparency map to give them their shape, but this seems to have been ignored in the Z Depth render:

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