I am able to reproduce the problem in Thingworx Studio ; as well in Creo View.
When displaying the modified .pvz file, the Component with Transparency in Creo illustrate are not in these software.
I found a solution, in Thingworx Studio, in the Model Item, select the Sequence where the Transparency has been added in Creo Illustrate.
Click the Preview button and the Transparency is enabled.
In Creo Illustrate when changing the Transparency, it doesn't change the original materiel.
But it is modified inside the Sequences.
Does this help you?