We come to the borders of my knowledge, so my answer is a bit vague. I know that shaping a window is done by using a black&white bitmap and that it is done on the sytem layer. Also I would assume that shaping a window is only possible on the 2D-layer of the system. In other words: with DirectX as in Construct you can't have a shaped window, regardless of using Constructs parameters or using Python. I hope some other with a bit more knowledge can answer it more precise.
For the sake of argument, I'm going to agree this is more or less correct. Suffice to say that it's generally outside the scope of what the DirectX or XNA libraries can do, much less Construct.
If you really wanted to do this, it would be necessary to write code at a slightly lower level. It's certainly doable in C++ or C#, but you'll find that you're largely on your own for the graphics handling, etc, once you're at that point.
I've never tried integrating DirectX or XNA with it, personally, so take this with a grain of salt: If you're feeling inclined to be adventurous, here's a link (C#) that could be useful. I suspect that you could take a form like that, render your graphics to video memory in the background (via DirectX), and blit them onto the surface of the form.