Yeah actually I have had an issue, saving a PSD file as greyscale can save alot of space if you dont need the colour channels and it makes significantly smaller files than TGA for the same image. There are other options like png which can be imported but I dont like that I need the intermediate step when the PSD import option is available. Ive put an example PSD on the ftp dropbox under my user name, the error reads:
Failed to import '../../../../../Users/00zX/Desktop/PlainTiles_SPEC.psd'. Failed to create asset '/Game/PlainTiles_SPEC'
Its nothing more than a standard PSD with a single layer set to greyscale. I would like to see PSD support improve since its a very common format for artists using adobe suite, it would save having to use an alternate intermediate format like tga, dds or the like which can cause issues if you want high quality uncompressed greyscales which are very useful when combined with node based material editors capable of layering.
Some modern applications actually give you access to photoshop layers, isolating layers out to individual texture samplers or giving you the option to collapse them all.