I'm so surprised that noesis also got that problem
It's not an actual problem, everything works as intended.
Edit: If I use noesis to view the *.tga/*.png/*.dds, and export to *.bmp/*.jpg (any format that does not have alpha channel), the problem can also be solved. So I think umodel should have an option to export to *.jpg maybe?
This is most likely because bmp files
usually do not support transparency so it just drops the alpha channel.
As it was previously explained in the posts Gildor linked above; this is usually a bad 'solution' because you will be missing a mask/texture map which was stored in the alpha channel.
EDIT: JPEG is lossy, I can't really understand why would anyone use that for textures or why would anyone want to straight up drop channels from textures in the first place, just keep them as is or split them?