I'm aware with the alpha features but I'm not very familiar with them.
The alpha component of a pixel is its opacity - it's like the whole RGB set of components, only this is a fourth one. Since your monitor can't display translucent pixels image-editing software often relies on displaying a background color/pattern and blending the image with it based on the opacity of its pixels. In PSP7, for instance, I get something kinda like this...
If I get rid of the alpha channel through whichever means, instead of being gradually more translucent the pixels come out as various "solid" shades of grey. For instance, the lowest pixel is actually solid white rather than 100% translucent over a white background - there's no blending at work here.
There are ways to lose the alpha channel, like copy-pasting the image or merging layers, but that changes from program to program. Try opening and saving the images without modifying them - if you still end up without an alpha channel then you'll want to look into what settings your program offers. In PSP7, for instance, I have this:
Note the single-color transparency option: that would give the kind of results you're getting right now - again, there IS some alpha channel being used in your images but it's only affecting a single color, leaving a thin band of transparent pixels around the text.
If you can open and save the image just fine, then you're doing something to lose the alpha channel while editing the image. Be wary of copy-pasting the entire image into a new file and things like that, though a bit of trial and error should turn up which operation you performed caused you to lose the alpha channel.
Hopefully that helps!