We do support transparency. Fancy alpha blending effects might not work but this should work I think. It might depend on the file type which was used and perhaps the setting of a color key in a palette (look for other wine apps which uses, some of them must be using transparency). Further apps like Office 2007 must also be using it and the app looks fine.
Well as this screenshot shows, something is broken: http://www.airwebreathe.org.uk/no-alpha.png . It may be that key transparency is supported but full alpha transparency channels are not. Something is wrong here, because the icons show up perfectly fine in any app I care to open them with.