Ah, this is because having a background image sprite of 0 can be treated as "no background image", which would lead alpha transparency not to be enabled. However, it should become enabled when you change the background image to something else.
What's the colour depth of your Sprite 0 reported as? One possibility I can think of is that if Sprite 0 is 16-bit, then the GUI would be created on startup as a 16-bit image, which would then be unable to display an alpha channel. If this is the case I can look into a fix for it.