I can't reproduce what you're seeing with Photoshop CS5 (nor Photoshop CC). Whether or not a black dot is on a layer that's transparent or colored to me the result comes out the same (though I had forgotten how incredibly slow Photoshop CS5 was to Smudge).
What version of Photoshop CS5 do you have (in other words, do you have the latest update, 12.0.4)? Do Help - System Info inside Photoshop to find out. I kind of remember problems with Smudge that were tidied up in an update, but I don't remember the specific version. In any case, I tested here with 12.0.4.
-Noel