Unity supports 16 bit natively and it can also automatically convert to 8-bit for compression although it doesn't dither down from 16 bits like Photoshop does.
That's a Photoshop thing. The help file says: I use my PSDs directly in Unity, works great. The only time I avoid using PSDs directly is when the PSD is really large, and we're using source control to share files among our team (SVN, Perforce, etc.). In that case the programmers don't want the slowdown from having to grab…