Drawing a window with a standard frame and transparent contents
The DWM doesn't do blurring any more (this feature was deemed too power hungry and was removed in Windows 8), so I'd guess that it's not properly compositing the background area of your window any more - and therefore you aren't getting the "automatic" alpha effect it was giving you in Windows 7.
This is kind of an unusual way to draw transparent windows to be honest. Using UpdateLayeredWindow is the "official" way and would have the benefit of working on Windows 8 as well as Windows 7.