afaik it’s doing that to fill out the rest of the space of the texture. It shouldn’t affect your object as long as you have nothing UV’d in those areas. Also you don’t need to have an alpha channel on the normal map.
The best thing to do to make sure it works is bring it into photoshop or the equivalent and fill in the background with the neutral blue. Don’t worry about having the alpha channel either if you aren’t using it for anything, it would be taking up extra space for no reason.