The following is based on a decompiled version of Minecraft 1.9 using MCP 9.24 beta.
The reason for this is that the method net.minecraft.client.gui.GuiIngame.renderExpBar(ScaledResolution, int) currently relies on the method net.minecraft.client.gui.GuiIngame.func_184045_a(float, ScaledResolution) (MCP 9.30 net.minecraft.client.gui.GuiIngame.renderAttackIndicator(float, ScaledResolution)), which draws the crosshair, to enable alpha. This only happens if the default crosshair is drawn. As the debug screen has a different crosshair, alpha is still disabled. The easiest way to fix this would be probably to have the method net.minecraft.client.gui.GuiIngame.renderExpBar(ScaledResolution, int) to enable alpha.
Still in 1.9.4 and 16w21b. This bug also occurs when being in F5 mode (third or second person's view) since the crosshair doesn't get drawn then either (see Marcono1234's code analysis).
Confirmed with default resource pack and Misa's 64x