Basically, no you can't do what you want. Though I admit I can not say that I am 100% of certain of that (though I AM sure that you can't do it all), I am pretty sure. Some food for thought, some of which will answer some of your questions, and some of which may be useful to help you in your quest if you continue to pursue it:
1) It's DWM (Desktop Window Manager) not WDM. Not being pedantic, just thought it might help your searches if you use the right terminology ;)
Ahh sorry, late night posting bites me again

You are correct.
2) When you setup a swap chain in Direct3D windows mode, DirectX coordinates with DWM to provide the surface that you are rendering to, which is the DWM surface. This is a video memory surface that is owned by DWM.exe but which is shared across process boundaries by virtue of the WDDM (Windows Display Driver Model). When you Present, the DWM is notified that the surface is "dirty" so it can be recomposited on the primary surface.
Ya, I read that. I was unsure of how much of the 'swap chain' was shared, and how they interacted.
3) Preserving the alpha values would not help you do what you want anyway, because you don't have control of the shaders that are used when compositing your window on the primary surface.
True, the shaders though must allow some sort of transparency. I don't really see any reason for them to not use the alpha channel... I'm not saying your aren't correct (the devs at Microsoft have done weirder things), but it still would seem strange.
There's just so little documentation about the DWM in the MSDN library, I was hoping someone here might have seen, read, or heard something I hadn't. Even Raymond Chen said on his blog: "Yes, there's a new desktop window manager, but no, I don't know any more about it than you do" (and I thought he knew everything there was to know about Windows).