You're saying that that red line is a bitmap / texture?
If so: there's no way that the graphics device can anti-alias the contents of a texture... it can anti-alias the edges of one, but not the "stuff" in it. Antialiasing is for smoothing out edges, edges of polygons, not what is "in" them.
If not: How are you drawing those red lines? Also, when are you calling those two lines in listed above, in the constructor for your Game? If so, you don't need the ApplyChanges().