ah yea, don't add transparency to the visual style... that will bork things, I'm sure.
You should have yours JUST like mine. Note that opacity is not even turned on. The value of -45 is in a greyed box, meaning it's disabled. The screen shot I took was using the visual style I Screenshot'd you.
If you have the visual style use opacity, it'll apply opacity to ALL objects. It's handy sometimes, but if you JUST want to see through JUST the brick wall, then you're best off defining the opacity in the material pallete, and not the visual style. If you want EVERYTHING to show transparent, then using the visual style is ok go... but you should try to stick to one only, in my opinion. Adds too many conflicts and hard to predict behavior. That may be causing your oddly dithered semi-transparent greyness.