your "SetTransparentForm" works only for top-level windows. If a window has a Parent this will not work.
If you need Alphatransparenz you have to write your own components.
you can get the image of your parent componenty with:
Delphi-Quellcode:
Parent.Perform(WM_ERASEBKGND,
DC, 0);
Parent.Perform(WM_PAINT,
DC, 0);
then you can use this picture in your own component to blend it with your components pic.
[Edit]
I found a solution for controls derived from (oder was heißt abgeleitet) TCustomControl like TPanel
[/Edit]