Well, if the background is black, you could just key out the black color. Drop your backgound on the top track, key out the black, and put your video on the second video track (under).
My understanding (i could be wrong!) is that you need a 32 bit AVI file in order to have the Alpha channel on export.
You could also check how the AVI file is interpreted by Vegas on import. Check the video file property to see if the Alpha Channel is set properly. Try Pre-multiplied or Straight. Not sure if you have those options in Vegas Studio though…
One last option would be to export from AE as a TIFF or PNG sequence. Those files would keep the transparency and should be accepted by Vegas (the Pro version does.)
Hope this helps!