Of course, you were right!
I am rendering another video with the right settings this time.
Thanks a lot
Update:
Btw, just so it may help someone else:
I am rendering with Blender. The rendering settings for Transparency are:
File Format: FFmpeg video
Color: RGBA
Encoding/Container: Quicktime
Video Codec: FFmpeg video codec #1, or QT rle / QT Animation