Alpha blending is fully supported, in fact, all images have now very regular and easy to work with RGBA format (32 bits per pixel).
"IMAGE_ALPHA" is only the "kind of Image": To optimize performance, U++, before sending the image to host platform GUI, tests the kind of image. IMAGE_ALPHA means that image contains pixels with alpha values other than 0 or 255. Unless you are doing something very specific, you can ignore this image kind - you are supposed to work with RGBA only.