This is from the ZBrush Guides Giger/Beksinski tribute set. If I start Zbrush 2022, start a dynamesh sphere and load the brush in by double clicking the brush from the extracted zip, it is loading the alpha, where your screenshot is not showing an alpha loading. It might be worth seeing if you can re-download the zip file from ZBrush Guides, or contacting @Pablander in case the download file has become corrupted?

If you can say more how/method you are “loading” the brush ito ZBrush, it might be that @Spyndel, @Pablander and other members may have more suggestions.
#edit if it helps, for me, the file size of ZiBe_Membrane_Wall2 is 3984 KB, so I guess the alpha is embedded in the file?
#edit 2. @Spyndel they were created in 2021.6.6 from the support video with the brush pack, if that helps with the age of them?