Since the IsFullWindow property has to put all other controls to the background, there is no way for you to do this. But yes, there is a way to do this, because many other Media players such as VLC media player makes a use of such technique, to show the subtitles on screen in the Full Window mode too; which makes this behaviour possible.
However, Windows API does teach you to program a personal (custom) full window style for your applications, to design the entire template of your application, to look like a FullWindow and show other controls on it too. This one can be implmented by you, which will let you control the entire design and the UI controls. The built-in Microsoft's controls don't let you get off the track while building applications, and you have to stick to the UI guidelines, to go off-track you can only use your own controls.
Read
this documentation[
^] to learn more on creating custom media transport controls.
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