The import format doesn't matter much. Most textures get DXT/S3TC (same thing) compressed. It goes like this:
Input format -> convert to raw bitmap (pretty much TGA) -> generate mipmaps -> compress to DXT -> store in package
I've been asked before if there's any way to enable/disable PSD layers, but the flattening stage removes all that data.
If it happens with other UDK textures, it's pretty clearly a problem with the materials side. What graphics card have you got and have you got updated drivers? I know newer UDK versions precache the shader binaries, and older drivers/cards may not support this which is why existing materials with caches would work but new ones without would not.