I think you’re more confused by what you’re trying to do, rather then anything going wrong here, but no-worries, all can be explained.
First – an image sequence is just that, a sequence of images. You’ll end up with a folder full of numbered images, each image being the equivalent to one frame. This is handy for all manner of reasons – from alpha channel support, to being able re-render and replace specific frames.
When importing an image sequence (to AE) you have to tick ‘Image sequence’ (Bottom left of image selection screen) and then all the pictures will come in, grouped like a video. I’ve never used Vegas but I imagine there’s a similar option. Highlight the first image and look for it – it’ll be there somewhere.
Alternately you can just export a video file. In the render queue output options – select ‘Quick time movie file’ or similar and you’ll get a single file movie. Note there’s a lot more to movie settings – if you don’t understand concepts like bit-rate, interlaced video and compression, you’ll probably get better quality from images. Still if you want to export to video use the output ‘Animation’ present. Tends to make a larger file – but it’ll look decent without having to fiddle with settings.
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