I use UE4 as well, and it works as expected when I do it - just tested importing images from Photoshop with and without Alpha and they worked correctly - are you using the “Quick Export as PNG” option?
Is your “Compression Settings” set to “DXT1/5”? That’s BC1 compression and will compress in the VRAM most efficiently.
Having a look at your snapshots there - you’ll get the ability to MipMap if you change the size to a “Power of 2” - for example, resize to 2048x2048 pixels - that will save you a lot of VRAM - without MipMaps, the whole texture will always reside in VRAM.