There's no "preserve audio" function in SE, nor in the Mac version of 3.0, nor in the Windows version of 3.0. (It has been removed in the latest Windows version updates.)
So your workflow should be:
1) Render your footage as a quicktime movie in FC, using any compression you want (you'll use the footage as reference only)
2) load this into particleIllusion (the Mac version does not support AVI)
3) add your particle effects
4) when you're finished with the particles, turn off the bg footage (click the "bg" icon), then render as a QuickTime movie, Animation codec, highest quality and number of colors, then check the "save alpha" option to save an alpha channel.
5) bring your particles into FC for final compositing with the rest of your footage.
The output size warning message is because your stage window is not large enough to fit the output size you want at 100% zoom. Just make the stage window larger.
Alan.
http://www.wondertouch.com