There's something weird going on with DNxHD in AE CC 2017 -- can't say exactly what. I am VERY grateful that I can only run AE CC 2015 -- orders from the Home Office, y'know. Others will have to elaborate.
In the meantime, how 'bout JPEG 2000 or PNG? Both compress losslessly and support alpha channels. But it's tough to beat Animation if you're making lower thirds. Because of the large amount of blank screen, the file size can be very compact.
Sorry for this issue. I have heard about similar issues. I have a feeling it has to do with our custom QuickTime Libraries on Windows. Can you please file a bug while I look into this issue?
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The Avid codecs have been problematic many times over the last few years. I've completely abandoned them unless the client specifically requires that format. I use the Cineware 10 bit you can get free from GoPro for most of my DI work (it may be included with AE now but I don't remember). It's visually lossless, 10 bit, supports alpha channels and works on PC and Mac just fine.