Unfortunately, it is not possible in pure .NET, to best of my knowledge.
In native Windows, there is a technique of "Layered windows".
See this: A non-rectangular top window with click-through shadow along the edge?
], check out the Answer by mbue. I did not test this technique. I asked mbue about this possibility and see that there is no easy way to make it with available controls: you would need to re-create all using bitmaps, which does not sound realistic at all. Please see the reference about for explanation of technique and the summary of our discussion.