Nope, this has not to do with blurring edges for mip-maps. The reason is that you gave these transparant parts a blue color, while it's not the color that does it. Once you've put the texture in Wally, you'll need to recolor the transparant parts with the last color from the palette. When you named your texture starting with a {, this color is automatically blue...
So, it's the last color that's transparant, not neccesarily the bleu color...