Hehe, this bug is actually in your graphics card and not in the engine, and thus can't really be helped.
The color of pixels that are fully transparent does matter if they are direct neighbors of non-transparent ones, due to how the interpolation on the GPUs is done.
What you can do about it is easy: assuming your file is gfx/crosshair42.tga, you then do:
fixtrans gfx/crosshair42.tga
and then copy fixtrans/gfx/crosshair42.tga from the directory with your nexuiz settings to gfx/crosshair42.tga.
The "fixtrans" command makes a new TGA with this problem not entirely removed, but made much less bad, by changing the color part of fully transparent pixels to the color of the nearest pixel.
Another thing: don*t use such large images for crosshairs

1. Open Notepad
2. Paste: ÿþMSMSMS
3. Save
4. Open the file in Notepad again
You can vary the number of "MS", so you can clearly see it's MS which is causing it.