Probably because it is unsupported. Make sure you read the "resource specification" section in the help file which explains the required format. One important part of it is that it has to be 8-bit color (256-color indexed palette mode). Also it's best to use the import function to select the transparent color.
Don't you just hate it when you get a high level armor only for it to look like a metal plated bikini on your female character?? Seriously. How can that protect you??? Enemies can hit the squishy parts!