I stumble across the same problem, but not always. Sometimes I have to import the alpha image, sometimes not. Also, I usually need to increase the transparency (from 0).
But the conversion to tgo is simple; just rightclick on the object node and 'save as', then name it 'whatever.tgo'. Perhaps Poseray will help, but it should be possible to do it right in XFrog in one go, I guess.
---Dune