Well, I've discovered something interesting:

I currently have an RDP session into a Windows 7 machine. When I have the RDP session display set to 32-bit color depth, the transparency only works on some images, not all. If I reduce the color depth below 32 (either 24 or 16), then transparency works for all images.

One thing I don't understand is why machine has no problem even when at 32-bit depth (maybe video driver?). So, if there are any graphics experts out there who might understand what's going on, I'd appreciate hearing from you. :)