You need to actually use a codec that supports alpha, neither variations you've tried have alpha channels although both codecs can. They're also probably not the most likely to be supported by capture.
There's nothing actually in the capture manual about which codecs it supports (i'm going to assume that it should support anything that's installed on your system) so the first i'd try would be a prores 4:4:4:4 , and you'll need to export directly to that from your editor.
@lars, why would this be limited to macOS? windows is more than capable of playing video codecs with alpha channels.