Looks like teal, not cyan. Teal is usually the transparent color, so that's probably why it's not using it. In the newest (offically unreleased) version, a dialog will come up offering a choice (should be a post about this a few pages back).
In the version you're using, you can using ctrl-b instead, which brings up the paste image dialog, where you can uncheck the "exclude from palette" button in the transparency group.