Directx11 does not like a transparent background. With an alpha set to 255 it displays as if it was 0. The max alpha is 126. I am trying to create a desktop overlay application and would like to use dx11 but I'm stuck with dx9 until fixed.
Screenshots:
dx9 vs dx11 :

dx9 dekstop overlay :

How to recreate it: (based of demo app)
1) Set CreateWindow to flag to WS_POPUP from WS_OVERLAPPEDWINDOW
2) Set clear_col to ImColor(0, 0, 0, 0) from ImColor(114, 144, 154)
3) Add after CreateWindow the following,
#pragma comment(lib, "dwmapi.lib")
#include "Dwmapi.h"
.....
SetLayeredWindowAttributes(hwnd, 0, 0, LWA_ALPHA);
SetLayeredWindowAttributes(hwnd, 0, RGB(0, 0, 0), LWA_COLORKEY);
ShowWindow(hwnd, SW_SHOW);
MARGINS Margin = { -1, -1, -1, -1 };
DwmExtendFrameIntoClientArea(hwnd, &Margin);
I'm sorry but this is offtopic, it hasn't much to do with imgui, it's a rendering and os/wm problem.
(Also: please use github attachment system for pictures and not imgur links. The knowledge is useful for future reference if someone ask the same thing but imgur links are not future proof)
Found a fix on unknowncheats (https://www.unknowncheats.me/forum/direct3d/192197-dx11-overlay-imgui.html)
By setting the blend states to,
D3D11_BLEND_DESC desc;
ZeroMemory(&desc, sizeof(desc));
desc.AlphaToCoverageEnable = false;
desc.RenderTarget[0].BlendEnable = true;
desc.RenderTarget[0].SrcBlend = D3D11_BLEND_SRC_ALPHA;
desc.RenderTarget[0].DestBlend = D3D11_BLEND_INV_SRC_ALPHA;
desc.RenderTarget[0].BlendOp = D3D11_BLEND_OP_ADD;
desc.RenderTarget[0].SrcBlendAlpha = D3D11_BLEND_INV_DEST_ALPHA; //
desc.RenderTarget[0].DestBlendAlpha = D3D11_BLEND_ONE; //
desc.RenderTarget[0].BlendOpAlpha = D3D11_BLEND_OP_ADD;
desc.RenderTarget[0].RenderTargetWriteMask = D3D11_COLOR_WRITE_ENABLE_ALL;
g_pd3dDevice->CreateBlendState(&desc, &g_pBlendState);
vs
D3D11_BLEND_DESC desc;
ZeroMemory(&desc, sizeof(desc));
desc.AlphaToCoverageEnable = false;
desc.RenderTarget[0].BlendEnable = true;
desc.RenderTarget[0].SrcBlend = D3D11_BLEND_SRC_ALPHA;
desc.RenderTarget[0].DestBlend = D3D11_BLEND_INV_SRC_ALPHA;
desc.RenderTarget[0].BlendOp = D3D11_BLEND_OP_ADD;
desc.RenderTarget[0].SrcBlendAlpha = D3D11_BLEND_INV_SRC_ALPHA;//
desc.RenderTarget[0].DestBlendAlpha = D3D11_BLEND_ZERO;//
desc.RenderTarget[0].BlendOpAlpha = D3D11_BLEND_OP_ADD;
desc.RenderTarget[0].RenderTargetWriteMask = D3D11_COLOR_WRITE_ENABLE_ALL;
g_pd3dDevice->CreateBlendState(&desc, &g_pBlendState);
Is this going to create problems with anything else? It fixed all my problems that I was having.

Sorry this is still off-topic;. This is a DX11/rendering question.
The old unmerged PR https://github.com/ocornut/imgui/pull/18 was using a similar technique.
But details of blending/rendering are up to your application, how the window and render buffers are setup, there's so many variables going on there and none of them are related to imgui.
Most helpful comment
Found a fix on unknowncheats (https://www.unknowncheats.me/forum/direct3d/192197-dx11-overlay-imgui.html)
By setting the blend states to,
vs
Is this going to create problems with anything else? It fixed all my problems that I was having.