transparent video alpha channel export problems

I suggest that you either use the Lossless with Alpha preset that comes in the Output Module section of the Render Queue or that you create your own using ProRez 444, GoPro Cineform, or AVxHD and set the color to Straight, the color to trillions if you work in more than 8-bit comps and make sure you select RGB + Alpha at the top. 

Verify the rendered file has transparency by dragging it into After Effects and check the clip properties in the Project panel and/or drag it into a new comp with the transparency grid activated. 

As has been stated, only a few formats support transparency. MP4, and for that matter, any MPEG codec does not support transparency.

MP4 and WMV formats cannot contain alpha channels. Some Quicktime MOV formats can, but not all.

I'd negotiate with your client the need to make a transparent video file at all, as it's got all sorts of issues in web formats.  QT will work on Macs but not on most PCs.  Other formats will work in Chrome but not Internet Exporer, or vice versa.  It's a minefield.

You'll save a million headaches by working out a way to fake or completely avoid the need for transparency.

What file format are you outputting?

Please make sure that what you choose is compatible with Windows.