I think it’s not so much a problem of transparency, as the fact that the shadows get drawn on top of your geometry, but without taking into account your geometry.
@andy designed the various render and display pipelines that are involved here and he’ll be able to tell you which ones are ideal for drawing your shapes in. The custom render mesh pipeline is tricky to use from within Grasshopper because I believe it involves registration from the plugin Load event, which you don’t have as a Grasshopper plugin. But again Andy will be able to tell you what, if any, workarounds are available here.