After identifying a potential issue in the Rhino version as far as the 'max depth' values go (which initially lead me to think that shouldn't be it, as the default of 8 wouldn't appear to be exceeded by your scene so readily), I think visose is actually on the right track.. Try both :)
Alternatively, and probably a better approach in general, use a Brazil Advanced material with the Brazil Default shader (which, as the name implies, is the default), and disable the IOR checkbox. This gives you a refraction-less transparency* that does not depend on the Max Depth settings.
* By refraction-less transparency, or simple transparency, I mean that all of the code that is usually invoked when calculation refractions - the actual bending of light - is skipped. As a result, this calculates faster and also makes it ideal for 'billboard' type geometry such as opacity-mapped trees, bushes, people, etc. Compare this to refracting transparency where, even if you have an IOR of 1.0 and there's no apparent/visual bending of light, the code that deals with that is still invoked.