That cannot work, a transparent color lets the background shine through. But a form's background doesn't itself have a background. You'll see whatever the pixels were initialized to in the video adapter's frame buffer when the window was created. Which is normally white, it will be black on some machines if you used the Opacity or TransparencyKey properties.
To punch a hole through the window itself so you see whatever windows are behind it you must use a layered window. Where the video adapter itself combines the pixels in the frame buffer with the pixels of your window, stored in a separate overlay. The same kind of effect you see used on television with the weather man standing in front of the weather map, called color-keying.
Which is trivial to do, simply set the form's BackColor to the same value as the TransparencyKey property. Pick an "unusual" color that doesn't appear anywhere else in the window, Color.Fuchsia is an excellent fuchsed-up color.