Sprite transparency issues

Hey! I'm trying to make an animated transparent sprite, but having issues with transparency inside the Unity. Upper row - is my original spritesheet, regular transparent png over the black background.
Lower row - screenshots from unity editor, that's how Unity display it frame by frame. Am I doing something wrong? Or Unity can't handle sprite transparency?

 

I also found that making a non-transparent grayscale image (from the very same PNG) and asking Unity to make an alpha from gray scale gives much better results. But the question remains the same, unity's native transparency interpretation looks broken

 

Maybe it has to do with texture import settings: compression format etc

 

What's your import setting for these sprites?