When you open the original pic in Photoshop, check if there's a second layer (in addition to the one with the art) labeled "background". Delete it and it ought to restore the transparency.
If that doesn't work, you might try creating a new image of the correct size and ensuring that its background is
transparent (there should be an option for this in the new file dialog), then copy-pasting the frame into that file. In either case, if it shows the white/gray checkerboard, it should save transparent.
If it saves transparent, but doesn't show up that way in WoW, you might need to check your BLP converter's settings.
Hope this helps.