I don't know all of the details, but a skin actually does or at least can use both sets of frames because some applications use the UIS frames. My ancient Excel2003 for example uses the per pixel frames for its main window and the UIS frames for the spreadsheet window when the spreadsheet isn't maximized within Excel.
The majority of the frames you see (Explorer, etc.) are the per pixel frames. The UIS frames don't support transparency through the frames in the way the per pixel frames do.
There is an option on WBConfig's Settings page to force the skins to use the UIS frames instead of the per pixel frames. If you like, you can apply a skin with a fair amount of transparency such as Diamond, then check the option and reapply the skin to see the difference.