I agree that this would be a nice feature to have in some instances, but until we do get it, here's a way to do it by editing the image:
![Image](http://dl.dropbox.com/u/3654072/ScreenCaps/Selection_001(001).png)
![Image](http://dl.dropbox.com/u/3654072/ScreenCaps/Selection_001(002).png)
(screenshots taken in GIMP)
Of course, you can use a even more transparent pixel than the one I used, it was only that visible so you could see it.