This will happen if the files are 8bit instead of 16 bit.
The ZBrush preferred format for Alphas are 16 bit grayscale PSDs.
Regarding the OP’s issue, I would just double check to make sure they are going in the right location–there is more than one “Alphas” folder in the ZBrush folders.
Files placed into Pixologic\ZBrush 2021\ZStartup\Alphas will show up in the Alphas menu (not Lightbox!) in ZBrush on startup. Please keep in mind placing files into the ZBrush Startup has performance implications for ZBrush, and we recommend adding no more than 25 items per category (25 alphas, 25 brushes, etc). This should therefore be reserved for items you will be using every session. More situational items should be added to the Lightbox folders, and loaded on demand.
In addition to the format, I might check to see if the files are named oddly. If the file names contain a lot of special characters, try renaming it with simple alphanumerics.
If your alpha files are the correct format and being placed into the correct location and still not showing up, please contact Pixologic Support. There may be something atypical with your installation or OS environment.
Thank you!