I don’t think it doesn’t support an alpha channel for export. Most video codecs that are compressed do not…which is why the majority that we use are uncompressed or nearly so.
You can still use the codec, but your have to render out your video and alpha separately.
Add your comp to the render queue, set up your output settings using the DNxHD codec, then choose RGB channels and straight for color. Then duplicate this output module, just click on the output module to select it then ctrl-d to duplicate, you’ll end up with one item in the queue with two output modules. Change this second output module channels to alpha and name the file adding “alpha” to the filename (just so you know which is which). Render these out…it will create to files.
Then in Avid, import the first file checking your import option to tell it to ignore the alpha. Then import the second file, your alpha.
Add your video to the first layer in the timeline, then add the alpha to a top layer on the time line. Then add the “matte key” effect from the “key” effects bin. Change the effect settings invert the key.
Whether this saves any space by outputting two DNxHD video versus one video in Animation with embedded alpha…or if it’s more of a pain and time consumer to work with two video layers versus one…don’t know.
Erik