The simple answer is no. The transparency mode is only supported within the browser - not as an embedded ActiveX control on your form.
You could use a webbrowser control and then load the SWF into that. Alternatively, you can adjust the 'Region' of the flash control to adjust its drawing region - but this implies that your control's background / outline is always static.
Ref:
http://vbcity.com/forums/topic.asp?tid=152553