sorry, but I don't have (un)DelphiX installed, so I can't test anything here...
But the problem you have seems familiar to me. I had same problems with other frameworks.
In DanJetX the problem can be avoided by setting
SamplerStates.AddressU[0] := D3DTADDRESS_CLAMP;
SamplerStates.AddressV[0] := D3DTADDRESS_CLAMP;
SamplerStates.AddressW[0] := D3DTADDRESS_CLAMP;
With this the rendering of transparent images shows no artifacts anymore. But I don't know how to set it in UnDelphiX... maybe someone else can help here...
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