I don't know if I'll be much help. I've only dabbled a bit in SkinStudio since WB5 came out, but I'll give a shot....
After looking at a few skins, the common denominator I see for the Max Caption is a TGA image, but "Transparency and translucency -Switch" is set to "Opaque", and the "Translucency -Switch" is set to "NOT used".