Note that #PB_Sprite_Alpha and #PB_Sprite_Alphablending serve two completely different purposes.
CreateSprite(... #PB_Sprite_AlphaBlending) seems to be working fine in PB 4.61b2.
Yes you're right it works; however it's not good for much because of a bug in drawing the alpha layer to a sprite.
This code is tested here working under Directx7 and fails under Directx9 and OpenGL:
EventID = WindowEvent()
If EventID = #PB_Event_CloseWindow
Until EventID = 0
Until it gets fixed the only good way to get an alpha layer onto a sprite is via LoadSprite or CatchSprite as drawing to it is currently bugged.