It's because the browser isn't copying the alpha channel onto the clipboard (or the OS doesn't support it), so when you paste in FW, all it sees is opaque black where there was transparency in the original image. When you import the image, FW gets access to the actual file on disk and can see the alpha channel in the png.
Note that on Windows, you can drag an image from IE directly into FW (instead of copy/paste) and maintain the transparency, even from IE6, which doesn't even correctly render transparent PNGs. I think in this case FW gets access to the image file in the browser cache, so it can see the transparency. Copying and pasting the image from IE6, on the other hand, results in turning the transparent pixels grey.
So the bottom line is: don't copy images from browsers if you want to maintain transparency.
