This is answered later in the course. I didn't realize that each Boulder would be textured separately in the end. The alpha is required when consolidating into a final set of textures. The consolidated one doesn't need alpha.
Kent Trammell
replied
Since this normal map bake in the demonstration is only one of the stones, later we need to layer the different stone textures together into a consolidated texture map. The alpha channel makes that process easier, so we don't have to cut out for the other stones' UV islands.
But ultimately, the final normal texture map won't need an alpha channel.
