Read this thread starting at this post to the end:
It provides options for Animated PNG with transparency. It also explains the trick of putting a Chroma Key on the Output track to create transparency that the compositor will preserve through the export process.
Most likely, your videos don’t have transparency because there are multiple tracks, causing the compositor to merge tracks against a hidden black background layer. It needs to be keyed out whenever multiple tracks are involved.
As for video formats that support transparency, ProRes 4444 as well as the options under Export panel > stock > alpha will work. DNxHD/DNxHR will not.