As previously suggested I did save an emitter as uncompressed which allowed me to save the alpha channel with it.
Once opened in Vegas though it does not show up with a transparent background. It still has the black.
Any more suggestions would be awesome here.
Have you gone into the clip's setting by right-clicking on it in Vegas and checking what the Alpha Channel option is set to? Vegas doesn't default to using the likeliest option, and you'll have to select it from the menu.