..that AlphaBlend doesn't seem to have any effect on forms at all...
Really ? On Windows 7 I can see absolutely nothing even when I set the color to clfuchsia. Is that a LINUX bug or a feature ???
Could also be Xfce, Xubuntu, GTK2, theme ...

If you ask me, why not showing the second window in the middle of the screen and telling the user how much seconds he had left to press shift to enter the configuration menu or whatever... (counting the seconds and telling him that the window will automatically close after 3 or 4 seconds).
That will also work as a good reminder for the user. Feels a little bit more like the normal way... showing him the options he got... 
Well, there's the option to show the launcher by a command line argument (and that is passed by one of the Steam launch options so not that hard to get

). I don't really like delaying the start of the actual program.
But the current workaround with a second 1x1 px window just to check GetKeyShiftState in its OnActivate seems to work fine. Not the nicest solution but working.
Of course if anyone still comes up with a way to get the shift-state without such a hack (and without pulling in further library dependencies

) I would be happy.
Thank you guys again a lot for all your input.