the text after onslide is transparent after setting setbeamercovered{transparent}

The premise of your question

"The last text "Shown on all slides" is transparent after setting setbeamercovered{transparent}"

is wrong. At least on my computer, the text "Shown on all slides" appears as normal (non-transparent) text on all slides. The option setbeamercovered{transparent} only has an effect on the text in overlays.

Edit: The compiled pdf on my computer looks different than the screenshot provided by Keqi Ma. I observe the correct behavior using

Document Class: beamer 2015/01/05 3.36

Package: beamerbaseoverlay 2013/12/25 (rcs-revision f6bd5e3805da)

beamer redefines in beamerbasecolor the reset@color command to allow some color setting to survive grouping. Most importantly it inserts the line

 pgfsys@color@unstacked{beamer@tempcolor}%

In pdflatex pgfsys@color@unstacked is defined (in the pgf driver pgfsys-pdftex.def) as

defpgfsys@color@unstacked#1{%
    pdfliteral{csnamestringcolor@#1endcsname}%
}

In the xetex driver of pgf it not defined, so the empty fallback definition is used.

This command is responsable to reset the color after a group:

documentclass{beamer}
setbeamercovered{transparent}
setbeamertemplate{navigation symbols}{}
makeatletter
% pgfsys@color@unstacked definition in pdflatex: 
% pdfliteral {csname string color@ #1endcsname }
% in xelatex: {}
defpgfsys@color@unstacked#1{} %now it fails with pdflatex too

begin{document}
begin{frame}[plain]
1A
onslide<1>
begingroup
1B
onslide<2>
2C
endgroup
2D
onslide
1-2E
end{frame}

end{document}