Hi,
you didn't set the same color for the background. Correct setting would be 255,0,255. You have in your image 255,128,255 (Meaning RGB) If you go to sprite editor, select your guy there and set Transparent color to 255,128,255 and you would see it works except the strange purple outline of your actor. So you have even outline of actor with different color then the rest of background.
So I'd recommend using "replace color" function of your gfx editor (Gimp has it for sure as well as photoshop) and using only one color. Write down RGB values of this color and then going to sprite editor - click on Transparent combo and Custom and write there your new RGB values. It will work.
Or if you don't want to bother yourself with changing sprite definitions, just use background with value 255,0,255.
Hope this helps...
Edit: Oh! This is my post number 42!