I could only guess that your texture is completely composed of 0 alpha pixels although I'm pretty sure bmp doesnt do that. Try creating a new gui texture without selecting your texture and see if the Unity symbol pops up. It all seems to work for me (and i followed your instructions becuase ive never done it before
On 2D engines:
First off let me say this: Do not underestimate GameMaker. It is not a toy and is extremely powerful when using GML. Not only powerful but fast/efficient. It can do many things i have yet to see anybody do with XNA like fast dynamic shadows and lighting (although its def possible with XNA)
It has its faults but believe me it is a very good tool. It's particle system in particular is better then any other Ive seen
Now if you want a "real" engine then I cant stress FlatRedBall enough. Great engine.. The best support ever (literally), A code generator and editors, maintained by a guy who has done alot in the business (Including working for EA and he just ported SteamBirds to android.. )
Not only is it great overall but it has support for: PC, XBox360, Web(Silverlight), Windows Phone 7and in the next release even Android.
Its current state is a bit messed up due to the new platforms (2 new platforms in 3 months time) but once they iron the problems out (And believe me they will because the guy uses it for all of his personal work) you will have quite possibly the best 2D engine around... It already was but as said some things got a bit crazy the last 3 months xD
Vic (the creator) is EXTREMLY helpful. Right now hes very busy on projects but when things cool down hes always available to help.
Its only real fault is the fact that that it is XNA based.. thats not too bad but it has its quirks (which x4000 actually has a blog post about) and the fact that it is (currently mind you
) "only" a 2.5D engine
edit: you will need to know and have a good understanding of C# though
edit again: actually the XNA quirks dont really count to much because FRB has its own content pipeline