What preset to use for transparent background?

Video formats that support alpha channels are generally massive and won't be supported by a website. CineForm is one, ProRes 4444 is the arguably most popular option. Neither of these are appropriate for a website loader. Instead, you can look into Lotte exports (using the Bodymovin extension from aescripts.com), a MP4 with the same color background as your website (which, due to compression, and how different browsers manage color differently, might not match), or a GIF. 

But without some more information, specific details and recommendations aren't possible to give. What kind of website you have, what formats are supported for your loader, and how much control over this process you have all matter. For example, if you coded the website yourself, you can install the Lottie framework to allow for lottie animations which would be very small and preserve vector quality (but there are other limitations). Also, if you have a Wordpress site, you might also be able to get a plug-in to load Lottie animations, saving you a lot of effort.