Alpha means there’s a mask as shown in your image of the cube.
It doesn’t appear there is.
In Unreal make sure you turn on alpha in the project settings.
Engine Rendering → Post-processing enable alpha set to linear color space only.
Double-check render settings in the movie render queue for any alpha controls and make sure to output 32 bit if that’s an option. You could also render in EXR format with multilayer off since that will have a real alpha.
I’ve never rendered particles as a separate element so there may be a Niagra control involved as well.