Exactly as mike says…you need to manually make the selection to fit your output.
And if you are still having issues, you can render your alpha
channel file from after effects to use in vegas as a
targa (image sequence) file and follow the same procedure when
importing it in vegas.
I really love using this format (targa image sequence)
it solves numerous issues that shows up when you render in other
intermediate formats.
Steve Rhoden
(Cow Leader)
Creative Arts Director and Film Maker.
Portfolio at:
http://www.youtube.com/hentys