Which version of Bryce? I noticed a problem when I saved from Poser and imported into Bryce 5.5. Any time I tried to change anything with the texture; diffusion, ambience, etc. the mapping got all twisted around. With poser characters there are often white blank spots on the maps and the blank spots looked gray. Depending on the Bryce version you are using you will probably need to download a patch to fix this.

To answer the other question about the transparency. Make sure your figure is ungrouped so changes don't apply to all of the figure. I ysyally do this away from other parts of the scene like up in the sky so I can regroup later. 

Click on the imported hair to make it the active object. Most hairs can have 3 or more parts so you will have to make the change each time. If you can't click on the hair it's possible to clich on the tab button on the keyboard to step through each object. When you get to the hair object click on the bryce materials button to bring up the texture editor. You will probably notice the hair color uses channel A and the transparency uses channel B. If you open the image texture you will see that bryce put the transmap into the first window and the second window is white. You need to click on copy under the first window and paste it into the second window. Bump and trans work from window two. You also need to click on the triangle next to the image window an make sure blend transparency is checked.