Even am facing the same problem...
Only PNG24/32 supports Transparency, not PNG8.
My problem is that the PNG does not appear at all. I can see it in the editor but when i preview the file, its not there. So, I went ahead and used the jpg version of the same graphic and in Captivate, selected transparent background. I chose "white" and it worked. the jpg appears with a transparent background!
I was having the same problem today (with a 5KB file). I ended up using PS to re-save the .PNG in .GIF format instead. I still had to switch on the background transparency in Captivate. But it turned out relatively well. (Relative to the .JPG that I tried it with---the anti-aliasing with that file format was terrible.)
Scaling down the image worked for me