Yes, I have definitely been using indexed colour. Gimp shows it in the image info. I have modified and resaved the other assets so I know it's not Gimp's export problem.. maybe it is.
This is what I created using indexed colours in Gimp (256 color pallette, the top-left pixel is transparent colour), and it doesn't have transparency once in Tilengine: https://files.fm/u/a8zxk8wj
I didn't realize it but C#/OpenTK is much easier to use than I thought. So I will probably go with that now. Other than sprite batching, there's not much I wanted but OpenTK seems good enough.
I also found a bug with Tilengine, using the Super Mario sample - there is sometimes randomly a viewport within a viewport, a little smaller, where the actual game runs. All I did was create new maps with my new tilesheet, then load them in as a foreground and background.
Good luck with Tilengine :) It's a very neat little engine.