So what is the question?
You asked if a "transparent" CStatic exists? I've answered - no. Not in MFC.
Because such control is a window. It is possible to make a window shape exactly as an image drawn in it. But it looks ugly.
Any window has a brush that cleans the background. If this brush will be NULL, the window will be transparent. But you will have a problem with the parent window. It is also a way, but we need to know more about the entire task to recommend something more specific.
I've said, in such case, it is better to draw the image in the dialog. If you want it can be a "control" - it will have the same methods as its MFC brother. If you have few images like that, it makes sense to get complicated and develop this control.
I'm going to leave this thread exactly at this point.
Happy New Year!