Label control supports transparency. Simply, the designer will not allow you to place the shortcut correctly. The PictureBox control is not a container control, so the form becomes the label's parent. So you see the background of the form.
Easy to fix by adding some code to the form constructor. You will need to change the property of the parent label and recalculate its location, since it is now relative to the image field instead of the form. Like this:
public Form1() { InitializeComponent(); var pos = this.PointToScreen(label1.Location); pos = pictureBox1.PointToClient(pos); label1.Parent = pictureBox1; label1.Location = pos; label1.BackColor = Color.Transparent; }
It looks like runtime:

Another approach is to solve the development time problem. It just takes an attribute. Add a link to System.Design and add a class to your project, paste this code:
using System.ComponentModel; using System.Windows.Forms; using System.Windows.Forms.Design;
Hans Passant Feb 22 2018-12-12T00: 00Z
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