Wow, I never noticed that Delphi 2006 introduced the TTransparentCustomControl.
I spotted it a while ago from the delphi – Transparent TCustomControl? answer on StackOverflow.
It is not used in the Delphi VCL itself, but a google search reveals that a few people have actually used it, and Steve Trefethen (former member of the VCL team) mentioned it too.
Note that it contains a [WayBack] mouse interception bug that is still open.
–jeroen