Gaussian blur lost

You could try changing the Blend Mode to Translucent and dragging the alpha channel into Opacity.

That might fix your issue. Unless you want to keep the black background, in which you would want to do what Redbox said.

I have created an image of a star with inkscape to use it in Unreal.

200326-estrella-gimp.png

And I have exported to PNG, and using Gimp I have converted to TGA:

I have imported to unreal:

Without losing the Gaussian blur.

But when I use it in a Material, I lose this effect:

What do I have to do to don’t lose the effect?

Try to add black background layer to this texture and reimport