Did you (fully) import the texture in MED or leave the extern(al) check box checked? In the first case you can change the texture format in the Skin Settings in MED, otherwise you need to make sure you save the texture in 24bit format.

Alternatively, should the alpha channel come in handy on that or any other model but when you still want correct sorting/ depth buffering then you can set
ZWriteEnable = true;
AlphaBlendEnable = false;
in the material (technique) and optionally set bool PASS_SOLID; or the corresponding material flat (forgot the name) to enforce rendering in the non-transparent pass (this alone does not fix the sorting issue). Look up those terms in the 3dgs manual or via forum search.