I know one way, kind of. I tried this with an Edit Box (and some other ActiveX stuff...see this screenie:
HoloMP3)
. I think it'll work with other DX controls. What you need is a parent object, which you'll usually have. Say a background graphic or something. Then set the parent of the DXControl as that background. Also, and this is key, set the DXControl to be a child (Child: Yes).
Now you can assign the DXControl a transparency in the script with Object.Opacity = XX
If the parent object itself has transparency (in the graphic or by DX), or is nearly completely clear and similarly sized as the child Control, there is actually quite a bit of control over how it looks.