Nothing. That should work unless you’ve reassigned Alt+X to some other function.
Customise > Customise User Interface > Keyboard. Click in the Shortcut entry field than press Alt+X - it will tell you what the key combination is assigned to. It should be “Display as See Through Toggle”.
You also access the feature by right-clicking the object > Object Properties > See Through.
Check your Keyboard Shortcut Override Toggle on the main toolbar as well.
Max 4.2 through 2014, Composite 2014.
nVidia 9800GTX+ (512MB) (Driver 314.22).
i5-3570K @ 4.4GHz, 8Gb Ram, DX9.0c.