Since I felt deep into this ...
Blender 3.2 works ... it is a bug (confirmed) since Blender 3.3 ...
There seems to be a "basic" support for PSD, so it has its glitches :) It seems to me like Blender see PSD as single layered file. So if your store transparency in a solo Alpha channel it is not seen by Blender (discussed here).
For transparency stored in RGB channels (what assume is called Premultiplied) it should work (for bug fixed version).
Same behaviour for Alpha channel used as Mask Layer in Photoshop.
What worked for me as workaround (with this bug) was to set Alpha > Channel Packed, that is weird (it is designed for a different purpose, but it worked here).
Also when PSD is Packed into Blender it works too :)