Hello there o/
I've been using construct2 for a few years now and I NEVER used the sprite editor lol.
Just like you said, go to photoshop or any other tool you are comfortable with and use that, the sprite editor of the construct2 is just for small last minute changes or details.
What you might wanna try is save the sprite with transparent backgrounds in different formats and see if it works. I usually save my sprites as .PNG and the background keeps transparent when I import it to the construct2.
So yeah... stop using the sprite editor in game, and try to figure out what's wrong with your files instead o/