I think I remember reading somewhere that windows sidebar gadgets don't allow for 0 opacity (complete transparency). If it's true or not, can't say as I don't have a clue where I read that before. Even if it was possible, you'd have to get into the individual gadgets code, and change it yourself. I haven't seen any instructions anywhere on how to get complete transparency with sidebar gadgets.
Might look into using something like rainmeter instead, where you get different skins that have things like clocks, dates, weather, news, processes, drive capacities, etc that just show the information on your desktop and no backgrounds. And also has he ability to change the transparency of the displayed information on your desktop. Rainmeter.net