There’s a bug with the built in version of Piskel. If you click on the tiny “a” in a layer to adjust opacity, nothing happens. So you can’t edit alpha / opacity for your graphics within GD5.
I believe Piskel doesn’t support true transparency/opacity at all, even on their official site: https://www.piskelapp.com
I believe the layer opacity is just so you can see between the layers/frames, not for final output/transparent colors.
A contributor may be able to confirm more directly, though.
Edit: this appears to be accurate, from Piskel’s own github working with opacity? · Issue #635 · piskelapp/piskel · GitHub
Unfortunately, there is no such way; Piskel’s transparency tools are primarily for blending, like making a slightly gradient edge between two solid colored regions. The partially transparent layer inserted between the two would achieve this effect. Piskel is not currently designed to preserve transparency against the image’s background.