What I've done was I loaded up a model of Alfred Woden ingame and changed the glasses texture to something distinct so I can easily tell the difference. I then imported Woden into Milkshape and exported him without any changes, then loaded him up again ingame. Milkshape didn't honour the alpha texture in the model and thus the texture remains opaque.
Here are the sample files containing the original and modified Alfred Woden models:
https://mega.nz/file/u8wUQTxI#sd0RVVvjt ... vNXmxX2Kew
...as well as two screenshots showing the problem:
Original model:

Exported using Milkshape:
