I was faced with a similar problem earlier this month as a coworker needed to paint specifically and only on the alpha component of a single RGBA colorSet (without changing the RGB values at those vertices), which it seems you cannot do (with 2009 that is).
I ended up having to create an extra Alpha only colorSet, and wrap a quick script to merge the alpha from the A channel and the RGB from the RGBA channel into the composited final colorSet. Not very production friendly.