The images go in to RAM and also in to VRAM (graphics card memory) if the rendering is hardware accelerated, which it usually is these days.
They get decompressed to the same size as the image saved as a 32-bit bitmap, so yes, a 1000x1000 pixel image will always take about 4mb of memory alone. This isn't much when both your computer and graphics card have gigabytes of memory, but bear in mind 4mb is still a lot for a single image on mobile.
The various compressed formats just package the data in to a smaller filesize. Compressed images cannot be drawn though, so it's normal to decompress the images in to memory whenever they are loaded.
We have plans for a feature to load textures layout by layout (like Classic can) somewhere on the todo list, to save memory with very large projects.