Texture Alpha cutoff + Photoshop

I'm trying to follow what this guy achieves with Gimp http://www.youtube.com/watch?v=s3RKGAj9Uzk while using photoshop

As far as I understood, you need to create another channel in photoshop and place in there the desired alpha cutoff gradient, I did it this way :

As you see in the pic the first visible layer is just an azure rectangle with the rest of the square just transparent, but in unity, placing this object on a plane gives a white background, even though the alpha cutoff works just fine. Am I missing something in Photoshop ? neither .tga or .png works this way