I've been damned for years because of this. I KNEW that it wasn't a problem of the texture importer itself, because I tried and tried and tried everything possible in the Unity settings along with Photoshop stuff, and nothing worked. Now I was playing with halos, and this time I caught it: when you update a texture in Photoshop and save it, Unity does not get the transparency on the shader for some reason. When you use another texture, and then put again the psd file, the transparency is activated. So now you have it: much probably the problem is not in the importer, but in how the shaders update the link.