Yeah, that is not gonna work here. Argb transparency is still buggy in conky; it screws the images up. The black window is caused by the fact that conky uses fake transparency. It looks for the wallpaper of the root window and recreates it. The problem is that some environments like gnome-shell don´t draw the wallpaper on the root window, so all you are left with is the dark background.

To the best of my knowledge, the only way to solve this is to use a program like feh to render your wallpaper.


EDIT
The above applies if you have a black frame around conky. If you only have a shadow and you are using unity, then the issue is that compiz is drawing a shadow. You can edit this in the compiz-config-settings manager.