Use ProRes 4444 as your codec. Or PNG, Or Animation. No other QT codecs support alpha channels.
Use the lossless with alpha option from the pulldown menu in the Output Module. You should make sure that the output module is set to straight alpha, not pre-multiplied. If you want to set up your own output module that uses different formats then you can choose Quicktime JPEG 2000, Quicktime PNG, Quicktime ProRez 444, Quicktime TIFF, Quicktime TGA, Quicktime Animation. Basically if you start with the preset for lossless with alpha, set color to straight unmatted, you're good to go. If you pick a codec and the RGB + Alpha goes away then the codec does not support alpha channels. If your project settings are higher than 8 bit I recommend TIFF or TGA or an image sequence.
Update: I tried the PNG setting and the animation setting, and each one worked *if* I went straight out of the After Efffects render queue, rather than using Adobe Media Encoder. AME didn't seem to work, but I didn't need it. One thing to add: I found that the Quicktime file produced by the After Effects render queue would *not* open by Quicktime Player, or it looked square (4:3 instead of 16:9). I finally realized that this was a quirk of QT Player, but that the file would go straight into Final Cut Pro, where it would have to render. The alpha channel came in fine each time.
Thanks for the input!
P.S. I didn't try ProRES, but both Animation and PNG worked.
The AME takes some setting up. You have to open up the video dialogue and make sure things are set up correctly.
Now days, most of the time, I just render image sequences for titles with the AME. I find it's easier to make changes later and no NLE ever has problems with image sequences.