Well,
please find below screen shots of my various tests under WinXP, MacOSX and Linux - always using the latest BlitzMax with synchronized modules.
The GIF and PNG versions of the BlitzMax-Logo are shown below:

(GIF version)

(PNG version)
WinXP-Screenshot:

(don't let yourself be misleaded by the "transparent" appearance of the .bmp image - the background color has just been chosen properly in order to produce that effect. What's more important: obviously, PNG alpha channel does not work)
MacOSX-Screenshot:

(not bad - although the ".bmp" breaks as soon as you force a repaint. Additionally, the "dividers" do not appear which is rather bad)
Linux-Screenshot:

(how poor, nothing works, neither .bmp display nor PNG transparency)
And here is the source code of my little program:
import BRL.BMPLoader
import BRL.PNGLoader
Local MainWindow:TGadget = CreateWindow:TGadget("PixmapAlphaTest - are PNGs & GIFs with Alpha Channel supported?",364,36,320,210,NULL,WINDOW_TITLEBAR|WINDOW_RESIZABLE |WINDOW_CLIENTCOORDS )
SetStatusText( MainWindow:TGadget, "(no special action required)" )
Local BMPView:TGadget = CreatePanel:TGadget(27,54,32,32,MainWindow:TGadget,Null,"")
Local Pixmap_BMPView:TPixmap = LoadPixmap:TPixmap ( "BlitzMAX-Logo_32x32.bmp" )
SetPanelPixmap( BMPView:TGadget , Pixmap_BMPView:TPixmap ,1 )
SetGadgetLayout( BMPView:TGadget,EDGE_ALIGNED,EDGE_CENTERED,EDGE_ALIGNED,EDGE_CENTERED )
Local UpperSeparator:TGadget = CreatePanel:TGadget(2,40,316,2,MainWindow:TGadget,PANEL_BORDER,"")
Local Pixmap_UpperSeparator:TPixmap = LoadPixmap:TPixmap ( "sunkenLine.png" )
SetPanelPixmap( UpperSeparator:TGadget , Pixmap_UpperSeparator:TPixmap ,0 )
Local IconView:TGadget = CreatePanel:TGadget(2,4,32,32,MainWindow:TGadget,PANEL_ACTIVE,"")
Local Pixmap_IconView:TPixmap = LoadPixmap:TPixmap ( "BlitzMax-Logo_32x32.bmp" )
SetPanelPixmap( IconView:TGadget , Pixmap_IconView:TPixmap ,1 )
SetGadgetLayout( IconView:TGadget,EDGE_ALIGNED,EDGE_CENTERED,EDGE_ALIGNED,EDGE_CENTERED )
Local TitleLabel:TGadget = CreateLabel:TGadget("PixmapAlphaTest",36,2,282,18,MainWindow:TGadget,LABEL_RIGHT)
SetGadgetLayout( TitleLabel:TGadget,EDGE_CENTERED,EDGE_ALIGNED,EDGE_ALIGNED,EDGE_CENTERED )
Local Font_TitleLabel:TGuiFont = LoadGuiFont:TGuiFont( "Arial" , 12 , True , True , False )
SetGadgetFont( TitleLabel:TGadget, Font_TitleLabel:TGuiFont )
Local SubtitleLabel:TGadget = CreateLabel:TGadget("are PNGs & GIFs with Alpha Channel supported?",36,22,282,16,MainWindow:TGadget,LABEL_RIGHT)
SetGadgetLayout( SubtitleLabel:TGadget,EDGE_CENTERED,EDGE_ALIGNED,EDGE_ALIGNED,EDGE_CENTERED )
Local Font_SubtitleLabel:TGuiFont = LoadGuiFont:TGuiFont( "Arial" , 9 , True , False , False )
SetGadgetFont( SubtitleLabel:TGadget, Font_SubtitleLabel:TGuiFont )
Local LowerSeparator:TGadget = CreatePanel:TGadget(2,185,316,2,MainWindow:TGadget,PANEL_BORDER,"")
Local Pixmap_LowerSeparator:TPixmap = LoadPixmap:TPixmap ( "sunkenLine.png" )
SetPanelPixmap( LowerSeparator:TGadget , Pixmap_LowerSeparator:TPixmap ,0 )
SetGadgetLayout( LowerSeparator:TGadget,EDGE_ALIGNED,EDGE_ALIGNED,EDGE_CENTERED,EDGE_ALIGNED )
Local Statusbar:TGadget = CreateLabel:TGadget("(no special action required)",2,189,316,18,MainWindow:TGadget,Null)
SetGadgetLayout( Statusbar:TGadget,EDGE_ALIGNED,EDGE_ALIGNED,EDGE_CENTERED,EDGE_ALIGNED )
Local Font_Statusbar:TGuiFont = LoadGuiFont:TGuiFont( "Arial" , 8 , False , False , False )
SetGadgetFont( Statusbar:TGadget, Font_Statusbar:TGuiFont )
Local BMPLabel:TGadget = CreateLabel:TGadget("BlitzMax-Logo.bmp - no transparency",75,62,235,23,MainWindow:TGadget,Null)
Local Font_BMPLabel:TGuiFont = LoadGuiFont:TGuiFont( "Arial" , 9 , True , False , False )
SetGadgetFont( BMPLabel:TGadget, Font_BMPLabel:TGuiFont )
Local GIFView:TGadget = CreatePanel:TGadget(27,98,32,32,MainWindow:TGadget,Null,"")
Local Pixmap_GIFView:TPixmap = LoadPixmap:TPixmap ( "BlitzMAX-Logo_32x32.gif" )
SetPanelPixmap( GIFView:TGadget , Pixmap_GIFView:TPixmap ,1 )
SetGadgetLayout( GIFView:TGadget,EDGE_ALIGNED,EDGE_CENTERED,EDGE_ALIGNED,EDGE_CENTERED )
Local GIFLabel:TGadget = CreateLabel:TGadget("BlitzMax-Logo.gif - with transparency",75,106,235,23,MainWindow:TGadget,Null)
Local Font_GIFLabel:TGuiFont = LoadGuiFont:TGuiFont( "Arial" , 9 , True , False , False )
SetGadgetFont( GIFLabel:TGadget, Font_GIFLabel:TGuiFont )
Local PNGView:TGadget = CreatePanel:TGadget(27,142,32,32,MainWindow:TGadget,Null,"")
Local Pixmap_PNGView:TPixmap = LoadPixmap:TPixmap ( "BlitzMAX-Logo_32x32.png" )
SetPanelPixmap( PNGView:TGadget , Pixmap_PNGView:TPixmap ,1 )
SetGadgetLayout( PNGView:TGadget,EDGE_ALIGNED,EDGE_CENTERED,EDGE_ALIGNED,EDGE_CENTERED )
Local PNGLabel:TGadget = CreateLabel:TGadget("BlitzMax-Logo.png - with alpha channel",75,150,235,23,MainWindow:TGadget,Null)
Local Font_PNGLabel:TGuiFont = LoadGuiFont:TGuiFont( "Arial" , 9 , True , False , False )
SetGadgetFont( PNGLabel:TGadget, Font_PNGLabel:TGuiFont )
repeat
waitEvent()
until (EventID() = EVENT_WINDOWCLOSE)
Hmmm, as you can see, I got the PNG transparency working under MacOSX only - and the GIF never shows up - meanwhile, I also tried several GIF files (without success) because my first impression was that my GIF file could be broken.