Found out how to do this yesterday, you need to save as a mov file… quicktime I think. On the export options before rendering click straight alpha channel.
If this is then imported on vegas it will still show a black background however if you right click on the clip, then properties…then change the channel to alpha straight as in photoshop and low and behold it will now have a transparent background!! I hope this helps others I spent 5 days searching for the solution! People kept saying export to alpha channel (but which one) lol …. Anyway happy as can be now. Photos seem to open as psd’s fine with transparent backgrounds.