Solution suggested by user EreS: click the gear icon at the top-right of Steam → Manage → Browse local files, right-click game.exe → Properties → Compatibility, check Disable fullscreen optimizations. This may solve the problem. Wishing you a pleasant day.
Known issue:
Background transparency failing due to fullscreen optimizations.
(Disabling it by default requires editing the registry. I'm not sure whether this can be fixed by code alone — after I finish the work I'm currently on, I'll try.)
Known but unresolved issues:
This app forces fullscreen, which can cause Wallpaper Engine wallpapers to stop playing when the “pause when maximized” setting is enabled.
Due to z-order / layering issues, transparency may fail for some taskbar-transparency software.
Enabling GPU acceleration in this software can cause severe stuttering.
In very rare cases the transparent background may stop working.