If you use something as an actual 'mask' in Flash, then there will be no transparency. There are a couple of things you can do though, that will allow you to get around this limitation, but you have to use a background with a solid color* for it to work. The first option is to place a shape in another layer on top of the layer you are trying to mask, cut out your mask shape, then go to Modify>Shape>Soften Edges (or something to that effect...I can't remember if that's the exact verbage) to get your feathered edge. The second option is to create a transparent mask in Photoshop and save it as a .PNG-24. Import this into Flash and use that as your mask.
* If you use a transparent .PNG then make sure you use a linear gradient that uses the same color on both sides for your background rather than a single, solid gradient to avoid transparency display issues.