When rendering videos with a alpha channel in DaVinci Resolve you need to use the render setting Individual clips. When Individual clips is enabled you can select to export Alpha. The individual clips setting also looks for source audio from the clip you are going to render. Oftentimes this may seem like you’re unable to export audio since the audio on the timeline wasn’t exported with the video.
To circumvent this you can highlight everything on the timeline you want to export as a single clip and right click on the highlighted clip and click new compound clip. This will make everything highlighted into a compound clip. When this new compound clip is rendered now the audio within it will be viewed as the source audio for the compound.