It is probably a transparent background. You can tell CH what color to use for transparency, but that is just in CH. When you export the video, you can export with transparency then it is up to the video playback software to choose what to display. Or there is a setting in the Media Encoder I think for some formats to tell it what color to use instead of transparency.
What I personally do is not rely on the above. I draw a rectangle in Illustrator (photoshop is fine too) for the background color, then import that as a puppet, add it to the scene, and scale it up with Transform behavior to fill the screen. That way I can control the background image/color and I don't have to remember media encoder settings to use each time.