Tom,
The .png suggestion is good and I use it myself all the time, but the reason you are having a problem is that you must first merge the layer effects and rasterize the text in order for Avid to correctly recognize the transparency values. In Photoshop, create a blank layer above the layer with the text/shadow. Link the text layer with the blank layer and select “merge linked”. This will flatten/merge just that layer. If you have a multi-layered graphic, you can import this as a sequence, where the individual layers can be further manipulated with effects in Avid.
Sincerely,
Oliver
Oliver Peters
Post-Production & Interactive Media
Orlando, FL
http://www.oliverpeters.com