Starting from Mathematica 10.0 such functions as Blur, GaussianFilter, ImageConvolve etc. don't affect alpha channel of an Image anymore. This change makes their behavior consistent with such related functions as ImageAdjust, Dilation, ImageEffect etc. which didn't change the alpha channel in previous versions. Hence it looks more like a bug fix.
To reproduce the old behavior, we should remove the ColorSpace information which is used to determine which color channel is the alpha channel. According to the Documentation page for ImageColorSpace, Automatic colorspace means that "no color space specified". Let us try:
Image[Blur[Image[img, ColorSpace -> Automatic], 5], ColorSpace -> ImageColorSpace[img]]
ColorSeparate[%]


Equivalently one can apply Blur separately to each channel:
ColorCombine[Blur[#, 5] & /@ ColorSeparate[img], ImageColorSpace[img]]

Another way is to use a function which is still applied to the alpha channel.
As of Mathematica 11.2.0, ImageFilter works with all the channels:
ImageFilter[Mean[Flatten[#]] &, img, 3]
ColorSeparate[%]


A bit surprisingly, but ImageCorrelate is also still applied to the alpha channel (Mathematica 11.2.0):
ImageCorrelate[img, GaussianMatrix[5]]
ColorSeparate[%]


I don't know why the exception is made for these two functions. May be a bug?