Add alpha channel in final render sequence

It’s my first time that I use Unreal, I should develop a simple animation of an object, and I need to render the final sequence with the alpha channel ( each frame with its alpha )
in order to add a different background in AE. I done what is explained in this tutorial: Unreal Render Sequencer with Alpha Channel - YouTube , but it’s not run correctly, because when I import in AE the frames ( .exr) there isn’t the alpha channel. Anyone have some ideas? Thanks!!