The background has to get filled with something on export, and white is what it gets filled with.
If you want a different color, fill a layer with that color and put that layer on the bottom in PS.
Or are you hoping to use an alpha channel? You have to create the alpha channel in the channels pallette if you want transparency…
OR
Just import the photoshop file directly into FCP. It’ll come in as a sequence. Open the sequence and copy and paste the elements you want to use. For example if you just want 1 layer from a 10 layer ps file, import the file and copy and paste that layer from the resulting sequence. You could alternatively turn off or delete any layers you don’t want and use the sequence as a still. Or IN PS merge all the layers and then import the PS file.
Importing a PS file will give you a cleaner alpha than cutting your own alpha.