DDS, always.
If compressed DDS loosk too horrible, then uncompressed DDS is better than TGA (even if filesize would be bigger).
Also, there's something wrong with the shockwave.pof included in the download... it seems like it doesn't have texture or something.
EDIT: On further inspection, the effect files seem to be using alpha blending instead of additive blending. I'm not sure if it will cause any catastrophic fail, but at the very best they are using 33% more memory than necessary. Additive blending (black=transparent) works just fine on effects such as this.
Also, I must convess that I don't really like the effect itself that much.

It looks like an expanding cloud rather than a shockwave propagating through something... and there's not enough variability during the expansion... it's kinda hard to explain. It could work exellently as a shield hit effect or some weapon effect, but I can't see it working as a shockwave to be honest.