I did that.  A long time ago.  I named it:   Wedge2LtBrownNew.jpg and when I loaded it into the texture window it popped up in the transparency window as well.  I even took the original texture file completely off my computer and saved it to a CD so that only the "New" file was accesible.  I manually searched for the "New" file, loaded it, and it popped up in the transparency window.

Weird, huh?  Just to reiterate...if I remove the texture, the transparence map appears.  It also appears if I turn the transparency down to zero, but then the hair is invisible.  I also made sure that I had the display setting for the Document, Element, and Figure styles set to "Texture Shaded."

Oh, and it doesn't do this for all hair figures.  Just a few.

It's frustrating, but as I said it renders fine.  It's just annoying trying to pose and make expressions for figures with ghost hair.