I have no idea about Photoshop, but clicking the "new channel" icon in GIMP brings similar problems. In GIMP, you either right-click a layer and select "add alpha channel" or create a transparent image (which automatically has alpha)
I think that creating a new transparent image in Photoshop should create an alpha channel automatically.
Yesterday is history,
Tomorrow is a mystery,
Today is a gift, that is why
We call it the Present.
Make sure your image is flattened (in the layers palette menu). It needs to have just one layer, and it needs to show up in the layers tab as "background" not "layer 0" or "layer 1". Any non-background layer has transparency info and that's where the fifth channel comes from. This true even the layer doesn't have any transparent parts and there are no other layers.