Thanks for the answer!

Last night I already fixed the problem, by replacing my .tga bullet hole images with .pcx files.
Also, I seemed to notice that the new game engine doesn't automatically do inverse alpha anymore, if TRANSPARENT and ALPHA are both set. Even with the .pcx images, I didn't get inverse alpha.
But because I've been known to modify my weapons.wdl file, and because the Update to A6.40.5 didn't replace this template file, I don't recall if it was me who wanted to give the bullet holes inverse alpaha. Or if it was me who had made them .tga .
But around 2:00am in the morning, I was too tired to report the development to this forum, that I had fixed it.
Dirk