PNG and EXR formats are supported with transparent background.
If you are Popvideo users, you may import the popvideo format into iClone and it will be transparent video.
If you want to import external video format, just need to import an Alpha channel for transparent background.
Kindly refer to the step 4th in this article for importing your video or image.
https://tips.reallusion.com/2024/04/09/guideline-for-beginners/
Also see this below if you want to export transparent video from iClone.
https://manual.reallusion.com/iClone-8/Content/ENU/8.0/80-Export/Exporting_an_alpha_video.htm
PopVideo
Alternative method – PopVideo is a plugin tool designed for converting external video with transparent background for iClone and Cartoon Animator.
See official web page: https://www.reallusion.com/popvideo/
And let’s check the Demo Video for the final result: https://courses.reallusion.com/home/iclone/render?v=iclone-7-visual-learning-transparent-video
By the way, if you don’t have Popvideo, you are also able to export video in popvideo format (.popvideo) from iClone and Cartoon Animator.