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Ahh! The video format mp4 doesn't support alpha channel transparency, so it has to have a background of some desscription. Removing backgrounds from videos is great for overlaying videos one on top of the other within Adobe Express, but there always needs to be a background for mp4 videos. 

Ultimately you would need to put a background in that you could remove elsewhere e.g. a green screen in effect to remove in Premiere Pro and save in a format that supports transparency. 

"Many video formats and codecs support transparency channels: WebM (VP8 and VP9), MOV/QuickTime (HEVC, Apple ProRes 444), FLV, and AVI. The main difference lies in the coding efficiency and the maximum alpha bit-depth." It doesn't really matter what editor you use to get to that format - and of course what your end use is for the video might be important too. You could also try the Premiere Pro Community Forum here for further help or if you use Discord there's an Adobe Video channel https://discord.gg/adobepremiere

Also, my apologies for the typing errors in my first answer; it's a wonder you understood anything at all 😅

Trythis once you have removed the background from your chsoen image. Set your background to No Fill. When you go to Download, you will be able to choose Transparent PNG, for no background.