Fullscreen alpha blit problem

Hi,
sorry to disturb u again with my newbie problems.
i call SDL_SetVideoMode(800,600,32,SDL_HWSURFACE | SDL_DOUBLEBUF)
then i am making some blits with surface using alpha channel and
everything is going fine.
But if i change just one thing in my program.
SDL_SetVideoMode(800,600,32,SDL_HWSURFACE | SDL_DOUBLEBUF |
SDL_FULLSCREEN)
than something goes wrong and the bliting goes without alpha chanel. Looks
like there is no alpha channel.
Does someone know what is going on?
Thanks Jan Kratochvil