Seems like everyone, including myself, dreams of good compression in a codec that supports alpha channel. I’m not a video expert, but I can’t think of any technical reason why alpha channel support is so poor in the industry. Certainly I would expect the alpha channel to have favorable statistical properties for compression (e.g. correlations with nearby pixels and with color channels).
Perhaps certain kinds of lossy compression might cause artifacts if the alpha channel were treated exactly like color, but with hundreds of brilliant engineers, someone should be able to figure it out. I would try myself, but I can’t be an expert in every field 🙂
I’ve always been frustrated by poor alpha support in nearly all graphics libraries as well, where the alpha is handled rather badly (and sometimes not at all).