This has been covered numerous times before.
I’ll summarise it briefly for you.
The .net Player is a Windows forms application.
Anything that uses a browser for rendering (text, datasets, tickers etc) cannot therefore be composited so we cheat that by putting the background image in the background and align it correctly. If you then put that on top of another media item you’ll see background rather than what is underneath.
You can put some things on top of others - for example you can put images on top of text items - but it’s much simpler to say that overlapping regions aren’t supported on Windows so it’s clear to people what their expectations should be. For that reason the Windows player doesn’t support the z-index settings as far as I’m aware.
We do have plans for a new player. They’re being discussed here: