Did you set a PNG as your wallpaper?
Those enable active desktop and the original wallpaper will still be 'under' it. The preview in wbconfig is not aware of active desktop wallpapers and neither is the taskbar transparency. I would strongly advise against using active desktop anyway due to its incompatibility with the icon shadows feature in XP.
The window frame transparency is fully aware of everything thats under it and it even works over videos (when not in overlay mode) and windowed Direct3D applications.
