I am not sure that using an alpha blend for all objects works very well. Take the below example of a 'bus: the band of alpha around the body is such that the wheels are actually a little transparent. This would not, I imagine, look very good compared to more solid wheels, and, moreover, would look inconsistent with other graphics in the pakset.
I suspect that alpha is best left for trees and smoke after all - even the pedestrians I suspect would probably have been fine had they been exported using version 2.65a or earlier of Blender as I have now discovered is necessary to avoid black bands around objects.
Edit: Actually, when I looked at that graphic on the forum, the transparency on the wheels seemed hardly noticeable, so I ran some tests in game. Can anyone spot the difference between the standard and the transparent version?