You are not alone in being bedeviled by Gif's notorious "white halo" effect.
I have no idea how the DevExpress component behaves and whether it "respects" the 1-bit color-index transparency of .Gif files, or not.
Did you consider producing a 32-bit .png file that has a "real" Alpha channel ... assuming you did not choose .Gif for its animation facility ... ?
I've had fair results with .png's with transparency where I carefully clean-up the border of the content layer (without anti-aliasing), then take a screen snap of the UI, set that snap as the background layer of the PhotoShop document (one layer below the content layer), then use the Magic Wand to select the background in the content layer, and use Select/Feather to create the anti-aliasing.
But, in general, as I think you might know, Win Forms just ain't that good with any use of transparency. For transparency, WPF is where you want to go.
Here's a good resource on optimizing settings for transparent Gif files in PhotoShop: [
^].
Here's another link that may, or may not, be helpful: [
^].
Gotcha's to watch for with trying-to-be transparent Gifs are: any scaling, or re-sampling of the Gif image.