Photoshop files transparency rendered wrongly in PP

Psd files (at least PhotoShop CS5/12) show up with white background in Preview Pane. Other files that have transparent parts (png, tga etc) show up normally.

If it matters, I also have automatic background color for Preview Pane enabled.

I think it's a limitation of the psd format. The preview image is saved onto the psd file as an embedded jpeg, and jpegs don't support transparency.