Images without alpha channel have a transparent color. It's probably set to black in this image. Edit it, double-click on the transparent color box on the right of the picture editor (the box with checkerboard) and change it.
This works for individual frames, but when I try to select all the frames and do this it only affects one of them.
Yes, you have to change it for every single frame. Or when you import the images you select the transparent color in the import options dialog box.