I was able to get around the problem by putting my color information in the glow channel instead. This is risky, since with indirect lighting on, the surface becomes an additional light source. My object was white, and I was able to get decent results with my glow value far lower than pure white. Don't have enough data to offer anything like a repeatable algorithm, but it's a place you mght start from. But you are right: hdri illumination doesn't understand transparency. I'd call that a bug.

One tip I picked up from the HDRShop forum: after the program creates the image, hitting the plus and minus keys will cycle you through exposure levels. If it starts out looking too dark, 5 or 6 hits with the plus key will get the exposure to a more natural level. Then go to Image>Pixels>Scale to Current Exposure. My original images were coming out very dark at first, with the same results that you are getting: Dark and dull. This fixed the problem