How to make video with transparency?

Keep in mind that both mov and mp4 are not codecs but containers.

mp4’s don’t support alpha channel.
mov does provided you export in a codec that has 4444, Pro-res or Apple Animation Codec come to mind.

It’s easy for you to check, export your video, then,
open a new SC project put something on track V1 and the newly exported clip on V2.
If it has alpha, the clip on V1 will be visible in the areas where V2 has transparency.