I just tested this feature with the current release v0.93 64-bit on Windows 10. I confirm that adding transparency to an image via Export [Ctrl+Alt+S] does work.
However, currently when clicking the button 'Set transparency color' the palette is not loaded/shown, unless you check the option 'Auto refresh' first. This should probably be changed so the palette is always loaded/shown, regardless of the 'Auto refresh" setting.
