This is because the window uses a style called WS_EX_LAYERED, and this style is supported for top-level windows and child-windows starting from Windows 8.
Older versions of Windows supported WS_EX_LAYERED only for top-level windows, so the window cannot be transparent.
As a workaround, you can choose the background colour similar/identical to your taskbar colour, and it will look exactly the same as with transparency.