This is caused by the blur setting. By default, it assumes the window frame is shaped like Aero. If you go to the perpixel caption section in SkinStudio6 and look on the Extra Settings tab, you'll see two "Blur rounded edge" settings. You can adjust those to tell WB how rounded your corners are. I'd set them both to about 10, reload the skin, and then tweak it as necessary from there.
Also, if your window isn't see-through anyway, you could just disable the blur entirely. 
