Unfortunately I cannot figure out a simple way to get away with it at this stage, besides the points you already made (and playing with reflectors and so on).
Basically the current way thumbnails get generated may cause the loosing of transparency (of course you already know that). We are going to address this in one of our future releases.
If there is anyone who managed to overcome this issue, please contribute your solution to the community.
the Telerik team
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