That's normal. Don't know why Adobe deceided to handle TGAs like this, but Photoshop displays them all opaque.

The transparency information comes with the embedded alpha channel, so if you need to get rid of opaque areas that are supposed to be transparent, just make a selection of the alpha, invert the selection and then hit delete.

Don't forget to convert the background layer to a standard layer, or you'll end up with the selected background colour where the image is supposed to be transparent.