A different approach is to export a video file with transparencies. Then you get a single file which I have found to be more robust. If you use the latest release, they added “export with transparency” into the menu, but the capability has been there for a while. You do a media export, accept the file name with .mp4 file extension, then in Adobe Media Encoder change the settings (the encoder) to be QuickTime / GoPro CineForm RGB 12 with Alpha. If you don’t use “with alpha” transparency data will be lost.
The end result is a single video file you can load into AE, Prem Pro etc. That approach has worked pretty well for me.