MaskimXul, as another way to work around your issue while waiting for a fix, how about the square fix?

Put a square prop in the background of your scene, and apply the image you want to use as a background to it as a texture. That's how I always put in background images. Then you can save it as a PNG, and it won't remove the background.

Definitely follow nerd's advice though. Submit the bug report. I advise everyone to do that when they have a problem. They can't fix it if they don't know it's broken.