WMS servers can typically serve images in many formats (jpeg, 8-bit png, 24-bit png etc.). Jpeg format, while it gives a good compression rate for natural looking imagery like aerial photos or satellite images, has a drawback that it does not support transparency.
If you need WMS layers with transparency, use png instead of jpeg as an outputformat. For vector layers png is a good choice anyways because such layers can usually be compressed as effectively with png as with jpeg. Png is also a lossless compression method which keeps the lines on the map sharp.