Well, you cannot be guaranteed of having alpha bits in the framebuffer without setAlphaBits, of course.
Instead of setAlphaBits(32) and setFloatColor(True) (a rather strange combination of options, especially given that that would yield a very slow framebuffer), you should try calling setRgbaBits(8, 8, 8, 8 ) to make sure you are requesting all of the bits.