Hi,
I found this out looking for something else. It is possible to export HD video (and probably SD as well) with an Alpha (transparency) channel using Quicktime. Here are some settings for a PAL HD export (1440 by 1080i). It is important to select the video codec as "Animation" to be able to use the 32 bit export options. Note that export is largely uncompressed so gets very big very quickly. It's just over 4MB per second.
Once exported the file can be used in PE as just another video clip. Vegas Movie Studio also reads them but you have to change the properties of the file to say it's interlaced and the alpha channel needs to be set to "Straight (unmatted)"