If you want the command box to be transparent through to anything beneath it, that's not supported. CommandTransparentEditBox makes the bit you type in transparent to lsxcommand's background. This lets you have an image behind the text rather than a rectangle of solid color.

And the reason it doesn't support the other sort of transparency is because Windows doesn't support layered windows with children (at least in win2k) and the text is an edit control (child window).