I'm not quite sure what you mean by, "transparent white displayed as transparent white: now it displays as transparent gray". If it's transparent then it's clear and you can completely see through it. I think you mean translucent, but translucent white will look gray when it's over a black background.*
I think you need to show a picture demonstrating the difference and also link to the .ICO file so we can see how the image is set up.
*: I just want to say, I'm not merely being pedandic here, because "transparent white" has a specific meaning, i.e. that the pixels are both colored white, and either that white has been marked as the transparent color or it's used as a transparency mask. Either way usually it refers to 100% transparency, not some degree of opacity/translucency.