Looks like I have found a way around this problem, but it still needs to be fixed in QxP2015...
In Photoshop, create a new Alpha channel
in the Channels tab (Default name: Alpha1)
Use that to create your mask (for example to cut out the background). Save as .PSD file.
Import the image (or drag/drop) to your layout.
Select the image, then click the Clipping tab
in Quark tool menu (in the bottom of your screen), and set the dropdown menus to Alpha Channel
and the dropdown under that to Alpha1
This solved the problem for me, and outputs a correct PDF file But I hope the Quarkians fixes this so one can use native .PSD files with transparent backgrounds directly...