So do you want the actual transparency grid in your final video or do you want to have a transparent alpha channel? If the first, just create a grid as a layer and export. If the second, you need to use a codec that supports an alpha channel like Quicktime Animation. Keep in mind that this creates a very large file and most non-professionals may not have the codec to play it back correctly.
May I ask why you need this in a final deliverable? It’s pretty uncommon.