However you can export as a PNG sequence which allows transparency.
1. Export as PNG Sequence to folder
2. Open Photoshop and go to open. Select the first image in the PNG sequence and select options in the open window. Select checkbox Image Sequence and press open. A framerate box should pop up, type in video framerate.
3. File > Export > Export as select gif and export in your settings.
This didn't work for me, and I'm not really sure if it's because I have the 2020 version or not. I went through your instructions and in the end I got a 1 frame gif that isn't animated at all. It got the transparent part down, but I can't do anything with the end result.