SDL_Image will set the alpha channel in the surface if the image that it loads, already contains an alpha channel.

Also note that TSDL_PixelFormat structure should contain alpha value information. In sdl.pas look for alpha: UInt8; // Alpha value information (per-surface alpha).

Or using your code it should be
[pascal]TextureImage.format.alpha[/pascal]

I am not sure if this actually works, but theoretically that is where the information should be stored.