As you suspected, at the time you do the Paste, the system converts the PNG format into PICT format, and it substitutes the background color at that time. As far as I know there is no way to specify what background color will be used. The only option would be to paste it into a photo editor program like Pixelmator or Photoshop and manually edit the background. Hmm, you also might be able to take a screen shot and use that.
For future readers, Panorama X does support alpha channels in PNG graphics.
I have made transparent background images many times in the past for use in Panorama 6. The method I used was with Photoshop C3 to remove the unwanted background. Note that newer versions of Photoshop will not work in this instance and leaves a white background in the transparent areas instead. In PS C3 I open a new image with background transparency set and then paste the image into the empty frame. I use the magic wand to select the background I want removed and delete it. I then Select Inverse and copy. Now I can either directly paste the image into a Pan 6 form or to the Flash Art Scrapbook. Either image will display with a transparent background.
There may be other methods to accomplish this but I have not pursued the problem beyond this solution. And, yes, I just tried it again with PS C3 and it still worked.