This is working exactly as intended in 4R2 and is actually an enhancement over ZBrush 4.
Here’s why:
Antialiasing is essentially a blurring effect that is performed on a model’s edges to hide the fact that the pixels are square. What happens when two adjacent pixels of different colors are blurred together? With ZBrush 4, when antialiasing was calculated during the multi-pass rendering ZBrush blended the current background color into the model’s edges. This of course made it difficult or even impossible to then change the background in Photoshop. Since multi-pass rendering is highly useful as a compositing tool, too you can see where this would be an issue. 
In ZBrush 4R2, the individual color layers are not antialiased, which means that you have no color bleed from the background. Instead, the Mask layer is antialiased. So whenever you use the AA feature, simply make sure to also export the Mask layer. When you combine these layers in Photoshop you will get the nice edges you’re looking for while still having the flexibility to change the background color or even add a background image.
Since you will always be compositing your layers in Photoshop (or similar) when you do multi-pass rendering, this isn’t requiring any additional steps.
Of course, if you do want to export from ZBrush exactly what you see in the viewport, simply export from the Document palette instead. In short, with 4R2 you now have more options, providing flexibility that wasn’t possible with 4.