I'm using AC without skins on Delphi 7 for some time and couldn't ever reproduce this issue. The PNGs are not transparent in design-time though, but in runtime all goes well.
The control is any TsToolBar. Attached Print Screen of problem.
Check how AlphaSkins demo is made.There is a toolbar and buttons using sAlphaImageList with transparent images.And make sure that you had activated the TsSkinManager your application is using(it appears you didn't from your picture).