The MediaStore API is probably throwing away the alpha channel (i.e. decoding to RGB565). If you have a file path, just use BitmapFactory directly, but tell it to use a format that preserves alpha:
BitmapFactory.Options options = new BitmapFactory.Options();
options.inPreferredConfig = Bitmap.Config.ARGB_8888;
Bitmap bitmap = BitmapFactory.decodeFile(photoPath, options);
selected_photo.setImageBitmap(bitmap);
or
http://mihaifonoage.blogspot.com/2009/09/displaying-images-from-sd-card-in.html