Really I didn’t do anything out of the ordinary. I’ve worked with Photoshop over ten years+ and never had any issue like this before.
Here’s what you do to recreate the problem.
Open Photoshop (I use CS6)
Draw a circle with transparent edges
Background transparent (doesn’t make a difference if you use layered mask for alpha channel)
Save image, import the psd in UE4
Look at the texture import window, enable alpha channel and you see a white border around the circle.