Apple has released new version of iTunes Connect & I got an error message when I tried to set Screenshots on itunes connect for my app.
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You must remove alpha channels when uploading a photo to iTunes Connect.
You can do this by Preview, Photos App (old iPhoto), Pixelmator, Adobe Photoshop and GIMP.
Preview
Open the photo in Preview (if the photo is in your photo album in Photos app (the old iPhoto), then simply drag it from the album to desktop. Then control-click (right-click when mouse) the duplicated photo and select Preview.app under Open With menu).
Select Export… under File menu, and after selecting the destination, uncheck Alpha at the bottom, and click Export.

Pixelmator
Open the image in Pixelmator, without creating a new Pixelmator file. Just drag the photo to the Pixelmator window.
From Share menu, click Export for Web…
In the top bar, deselect Transparency.
Click Next and then save the new file somewhere.
Finally, upload the new photo to iTunes Connect.
GIMP
Open the photo in GIMP.
Open the Layer menu.
Under Transparency, click Remove Alpha Channel.
Save the photo.
Adobe Photoshop
Open the photo in Adobe Photoshop.
Under Layer menu, click Layer Mask and then From Transparency.
Delete the layer mask by right-clicking on the mask in the Layer panel and selecting Delete Layer Mask.