‘I use Vegas Pro 8 (started with 6) and as Alan clearly suggests at end of referred tutorial, .PNG image sequences with Alhpa is the best way to go for NLEs such as Vegas.’
I don’t see the point in exporting PNG images to import them as a image sequence into Vegas. An easier way is exporting from PI as avi file with the lagarith codec (include alpha channel selected!) and drag this file onto the timeline of Vegas.
Theo