It's set to *allow* transparency, but is it *actually* transparent?
Also, the source might actually be transparent, but not all transports support that. Most physical video standards don't. NDI (network) does. There are others that I don't know about. So that's a possibility too.
Likewise, the transport might allow it, but the source isn't.
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If you really can't get *actual* transparency, and you don't need all the possible colors, then you might use the Chroma Key filter in OBS to make it into a "green screen" or whatever color you don't need. Change that color *into* transparency, in OBS.