Not exactly. With 2000/XP you can set the entire window opacity. Still no gdi+ native. So regions were still just shapes(1bit mask). Trying to set a pre-multiplied bitmap to a window will just give you a brightened version(the multiplied version).
Though there was some support for cursor shadow at this point, and the improved GDI heap really helped, making faking a window drop shadow actually pretty feasible. Vista and Aero is the first native support for Windows with alpha channels.
I actually liked Vista. It worked just fine and wasn't unnecessarily reorganized. Plus the improvements to the OS threading model were excellent, which is why 7 is so incredibly rock solid, probably peak Windows.