As suggested, what you're seeing is exactly what you should be seeing based on what you did. This is an example of why you should ALWAYS read the documentation. That goes double if you try something and it doesn't work as you expect. Microsoft spent thousands of man-hours writing documentation for a reason. Don't just ignore it and then ask others questions that that documentation answers. It won't answer every question but it will answer many, so ALWAYS consult it first. You can get to specific topics simply by using the F1 key in VS but you should also bookmark/favourite the home page in your browser. The VS Help menu will take you directly to the top-level home page but it's then a bit of rooting around to get to the class library reference home page.
So, the question you actually should be asking, and thus describing, is how to do what you actually want to do. Windows Forms does have very limited transparency support. If you're expecting a single control to show what's behind part of it then you will be sadly disappointed. All that is possible at the control level is a fake transparency where a control will effectively draw the area of its parent that it is obscuring in its background and the degree to which that is visible is determined by the Opacity
of that control. Because you can't actually see through the control, you won't see any sibling controls that you place between the control and its parent.
If you want more than that then you don't want Windows Forms, which was originally released in 2002 and just can't do what you want. WPF was built from the ground up with advanced functionality like transparency in mind. That's what you'll need to use.