Yep, that appears to be the case. By default (my) U18.04 Mate uses, as Windows Manager, Marco (Adaptive compositor). Changing that to either Marco (Compton GPU compositor) or Compiz (Advanced GPU accelerated desktop effects) does show transparency for Lazarus Apps that have the appropriate AlphaBlend settings.
Interesting, that C code example Handoko found still does not work, good thing we use Lazarus :-)
On (my) U18.04, you do not need to install or configure anything, just fire up Mate Tweek (from Control Center), click Windows and select one. I may use Marco with Crompton for a bit, Compiz is just a bit too busy for me.
Interesting discussion.
Davo