Yes, this is how paint.net denotes transparency.
It's all to do with the position of the layers. Imagine layers are viewed from above in top-down order the same as presented in the Layers window. You're coloring a layer which is above the graphics, so what lies below is hidden. Try this:
Add a new layer with Ctrl + Shift + N or Layers > Add New Layer.
In the Layers window, drag the new layer below the one with the graphic on it.
Highlight the new layer in the layers window.
Fill with whatever color you choose.