If you've rendered this correctly - and from your description it reads like you have - your file does have an alpha channel. If you're viewing it in a typical 'consumer level' video player - VLC, Windows media player etc - they won't show the transparency / alpha, so you'll see black.
Import the rendered file back into After Effects. Here are a few things that are useful to know:
1. When the file is selected in the project panel, look at the thumbnail and information to the right of it. The last line will say: Millions of Colours... but if it also has a "+" that's telling you it has additional channels of data = an alpha channel.
2. In the project panel menu (the three short lines in the tab) you'll find the option for 'thumbnail transparency grid'. This will show the transparency in the thumbnail.
3. If you what to check the transparency at full size: double click the movie in the project panel and it will open in the 'footage window'. Toward the bottom lower left you'll find a 'transparency grid' icon - black and grey checkers. That can be toggled on / off to show transparency. The same icon is also available in the Composition and Layer windows.
So, please check it and report back. Does your file actually have an alpha?
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