I think that's because of the alpha in the ps2 textures. Have you tried the venomalia HDCube chainner presets? I think it has some kinda of transparency converter.
`https://github.com/Venomalia/HDcube
I've test both packs of the textures on PCSX2 2.2.0 and the latest Nightly 2.3.131 and they are working fine. Seems like it's a problem at your end. Try changing the video renderer or something.