The default display viewer of CImg just shows the 3 first channels of your image. It does even ignore that the 4th channel is indeed a transparency channel, it could be something else (the K channel for a CMYK-coded image for instance). CImg doesn't store this kind of information, it lets the user knowing what he manipulates at the end. If you have a 4th-channel for transparency and what to display it in CImg, you have to create a small rendering procedure by yourself, like this :
CImg<unsigned char> render(img.width(),img.height(),1,3,255);
render.draw_image(0,0,0,0,img,img.get_channel(3),1,255);
(assuming 'img' is your 4-channel image). Now 'render' is a RGB color image that is a rendering of your initial (transparent) image over a white background.