Yes ffmpeg certainly does support alpha channel in a video file. Not all codecs in ffmpeg seem to support alpha yet tho. Motion PNG in a .MOV file is one good combination for alpha.
To encode/import images with alpha to a video with alpha try: ffmpeg -i %d.png -vcodec png z.mov
Quicktime will play that.
To decode/export a video with alpha to images with alpha try: ffmpeg -i z.mov -f image2 export2\%d.png
Note that I exported them to a directory called ‘export2’. Be sure to leave the %d parts in there. These commands will work as is on a Windows system. Linux/Mac users may need to add quote marks and swap some \ for / as usual.