Hi so I'm new to this site but I am actually experiencing a very similar problem on a brand new machine I just built a couple of weeks ago (I added the specs to my profile and am running Windows 7 Pro 64-bit - but it definitely is Windows Aero compatible).
Whenever I boot Windows from a complete shutdown my Aero/Transparency isn't available as an option. I will restart the DWMS and it works for a few seconds before reverting back to disabling Aero and not letting me change it back. I run the troubleshooter and it doesn't identify the problem. I also ran sfc /scannow and it finds no errors (even after running at least 3 times - I've attached the file here).
It seems the only way to "fix" the problem is to restart the computer (restart, not shut down and turn back on) once it's turned on. Then it seems to miraculously fix for a long time. I'm not sure what could be the issue. Any help would be great!