Does the Matplotlib pgf backend support transparency?
Yes. The .pgf backend does support transparency. If the *.png and *.pdf files come out as transparent, but the *.pgf does not than it may be a problem with your viewer, or tex packages. 
For me it was the package "transparent" which enables transparent text on pictures, but I wasn't actually using, which clashed with pgf.
I'm currently creating graphics usind the pgf backend for matplotlib. It works very well for integrating graphs generated in python in latex. However, transparency does not seem to be supported, even though I believe this should be possible in pgf. I am currently using version 1.5.1 of matplotlib.