I altered a video in PS CC2014, (magic wand to remove a color in a moving graphic), i tried to import the PSD file in AE and this is the message i got form AE:
I am pretty sure that i have the latest QT version. Or can i import a PSD file containing a video with alpha without merging or flattening the video?
No, you can't import a .psd file with a video layer into the current version of After Effects. Export the video from Photoshop to bring it into After Effects.
In the future, I recommend that you use the compositing features in After Effects to separate an object from the background in a video. That's what After Effects is for.