When the background of a label is set to transparent, the labels CONTAINER is drawn behind the transparent label, but no other controls. If you can see through the label to the form, perhaps the label isnt INSIDE the panel, NOT ON TOP. If this is the case then the form will be drawn through the label, but not the panel (it will look like the label cuts a hole in the panel).
You DO NOT need to draw the text manually (everyone seems to think otherwise). You just need to make sure that the control is actually inside what you want to show through the transparent control. If what you want to appear behind the transparent label is not a control container (and a panel IS a control container) and you cant substitute a control container control for what you are using, then in that case, YES, you do need to do it manually with the Graphics class.