C# - Transparent modal form on a window

I want to use fully transparent Modal form in my application, with being able to fill it with partially-transparent image; For this, I used to remove all visible elements from the form and got the code below.

class WinScreenshotWindow : Form
{
    public WinScreenshotWindow()
    {
        // Create from without erasing background with a color
        // Going not to use transparent form instea开发者_如何学编程d, it will produce context menu bugs in textboxes for child form
        this.SuspendLayout();
        this.MaximizeBox = false;
        this.MinimizeBox = false;
        this.ShowIcon = false;
        this.ShowInTaskbar = false;
        this.FormBorderStyle = FormBorderStyle.None;
        this.StartPosition = FormStartPosition.Manual;
        this.ControlBox = false;
        this.Visible = false;
        this.Size = new Size(100, 100);
        this.Location = new Point(200, 200);
        this.ResumeLayout();
    }

    protected override void OnPaintBackground(PaintEventArgs e)
    {
        // Erase Background Windows message:
    }

    protected override void OnPaint(PaintEventArgs e)
    {
        Rectangle clientRect = e.ClipRectangle;
        e.Graphics.FillRectangle(Brushes.Transparent, clientRect);
    }
}

    static void Main()
    {
        Form form = new Form();
        form.Size = new Size(400, 400);
        form.Show();

        var ww = new WinScreenshotWindow();
        ww.ShowDialog(form);
    }

But the result is something strange:

When I remove filling in OnPaint(), it is not visible at all. The question is - why does this happen? If the background is transparent why do it shows the form in such way? And what can be done in this situation?

Any help appreciated.

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Wouldn't it be easier to open a borderless form with a red backcolor and set the TransparencyKey = red?