Hi,
I pulled a key on a green screen in After Effects CS3 using the Keylight plugin from the Foundry. Then I rendered the clip out of After Effects as an .avi with RGB + Alpha selected. So the alpha channel was embedded into the .avi file. That worked fine inside U4. I have the project files somewhere I have to go dig them out. If you have any more problems let me know and I can send you the actual script files.