Nope, you didn't miss it. Rhino still doesn't offer direct support for alphas on picture frames or background images. The workaround is pretty simple though. first make a picture frame of that image you need (to get correct proportion). Then make a new surface by snapping to it. Then assign a texture, and also put a second image into the transparency channel. And then set that object to always be displayed in render mode (this must be done individually for every viewport for that object). It's a lot of steps, but the result is perfect. I also just realized that if the environment mapping and the gloss finish are set to zero, then the image will not be affected by shadows & lighting. And the transparency of the object can be adjusted in the properties. WHEW!!!.... That was quite the workout!!! My fingers are ready for a massage and a shower... :)

jonah