If alpha is allowed, and same color with different alpha is allowed, so we are essentially doing grayscale with 256 various shades from white to black (or other colors), are we not?

Not quite. After all, the rules contain a footnote stating that transparency can only be implemented at the code/engine level. That way the player can distinguish where the alpha channel is used and where the gray gradient is. This was added for, for example, a dimming effect at the start of the level and the like. Or to be allowed to make particles fade over time. In general, this does not allow the use of 255 colors and allows the above frequently used effects.