The thing is that PSShader use RGB channels of EmissiveMap and you put to it RGBA. A - alpha is ignored in this case by Shader, it grab RGB values from texture and work with it, but you see that image fine and you see only emission regions in texture. But actually there are still white color that discarded by alpha in gimp or ps. You better for this use only RGB or BW images and make non-emission part of texture with full black color.
EmissiveMap
Are you using the latest blender-urho exporter?
Yes, actually I have a fork of this exporter with my additional functionality. But there still need to do material setup in Urho3D editor.
ps. Actually this maybe need to be fixed in master to allow users use EmissiveMap with alpha or clip Emissive pixels by alpha value from EmissiveMap
changes for LitSolid.hlsl if you want clip EmissiveMap by alpha value
#ifdef EMISSIVEMAP
float4 emissiveColor = Sample2D(EmissiveMap, iTexCoord.xy);
float a = lerp(1, 0, step(emissiveColor.a, 0.1));
finalColor += cMatEmissiveColor * emissiveColor.rgb * a;
#else
finalColor += cMatEmissiveColor;
#endif