Audacious uses classic Winamp2 skins, so search for those too. Those never had true transparency, but there were ones that were built with transparent panel images. I remember coming across one like that one long ago.
One option I ran across recently is xtransset, a small application that can set the transparency on any window, as long as you have a compositing manager running.
But be sure to get the patched version that allows you to target windows by name or id.
Then you can use a small wrapper script to launch it and apply the transparency at the same time. Something like this:
transset-df .7 -n "Audacious"
transset-df .7 -n "Audacious Playlist"
transset-df .7 -n "Audacious Equalizer"
I don't think this is a perfect solution though. There seems to be some funky behavior involved in matching the window titles, such as when Audacious is minimized using the status icon plugin. So you might look into something like devilspie instead to control this: