If Lagarith is installed on your system you should be able to select this codec after you selected “Video for Windows” and then customize one of the given presets.
I’m not sure but to me it looks like that “Save + Copy Media” simply does not work with image sequences (while it works fine when single images are used instead a sequence).
You didn’t mention how you applied the FX and which order you used. Actually when using the Chroma Keyer FX as Event FX, all you need to do is to apply the Black&White Event FX after the Chroma Keyer FX.