I still have to build smaller elements like hands and boots.
...and I was ready to open Photoshop.
But before that baking was in order. Again I had to use both Xnormal and Max and merge then together. The good thing about Xnormal is that it gives more depth and is much better for organic meshes, like in this case cloths. Unfortunately if the retopologized mesh differs too much from the sculpt, it will not catch the detail properly and leave it as a black hole which has to be later painted over in Photoshop. On the other hand, Projection modifier in 3Ds Max gives you possibility of adjusting baking cage however you want so you can avoid error. It also makes everything flatter. Therefore I think it's good to bake the same normal map in both programs and mask it nicely together in Photoshop using soft brush.
I am a silly person thus I made all the little elements separately.
I still don't know why shaded viewport can't cope with alpha channel. But it makes me happy. I hope I will never find a solution.