Well, the normal map alpha channel controls glossiness in Oblivion, and if I want a texture to be partly glossy and partly matte, I have to make the matte parts transparent (or at least mostly transparent). The color values are still used correctly for normal mapping, even if the pixels are transparent. Now if I export a texture with transparency as dds, the color values remain correct in the main texture (the full-size image), but transparent pixels become black in the mipmaps, even though they stay transparent. That means, the normal map does not work any more in these parts when the mipmaps are used. The Gimp plugin generates mipmaps with transparency correctly, Paint.NET does not.
The original game also contains normal maps with fully transparent pixels, with the RGB values intact, so it is supposed to work like this,
I hope the picture makes clear what I mean. The images in the upper right and lower left corner are what the mipmap in the upper left corner looks like with the alpha channel removed after exporting as .dds with Gimp and Paint.NET, respectively.