I think you can actually do this without any scripts, and just by using a Windowskin.
In the title screen of my "collection" demo, I used a "glow" windowskin so that a glow would appear behind the Menu Items of New Game, Continue, and Shut Down. Once you start your game, you can change the Windowskin to whatever you want to appear during gameplay.
The Windowskin is still rectangular in shape, but due to the way the Opacity is set in the image file, it doesnt appear to have a solid border.