The way video is displayed with DirectShow video renderers, you cannot make it transparent without providing your own video renderer filter, or custom allocator/presenter object for one of the standard video renderers. DirectShow renderers display video with DirectDraw or Direct3D surface which stands alone from hosting window and is not interacting with host in a way supposed to get you combined picture with transparent video and something else as well.
I've been reading up on
put_MessageDrain
andput_Owner
These are for Windowed mode, you seem to use Windowless which assumes that you are providing a hosting window and rectangle to cover opaquely. Renderless, the third mode VMR-7/9 and EVR offer you is the one where you provide allocator/presenter and override the presentation.
Windows SDK (for some you might need to look for an older version, not the latest) provides with samples: Renderless
, VMR9Allocator
, EVRPresenter
which demo the renderless mode.