Hi Dave.
At first, when I played your video I wasn't watching who is writing, and when I heard your voice and was like: Oh, my God, it is Dave
I don't have windows myself, so I cannot tell you is it the problem with DNxHD or with something else, but
I was trying to do this on ProRes and it is working just fine with save Alpha to color option checked and pre-multiply in DaVinci Resolve checked.
I can see few other ways to do it, but it you will have to create second output with alpha only and apply it as a matte, and it is a different approach.
You will have any questions about Fusion, just let me know on: pawlowicz(dot)tomek(at)gmail(dot)com
I would love make same training materials for Fusion beginners and would gladly know what are your thoughts about it and about Fusion itself. Some crazy stuff can be done in it, and there is not much training materials for it.
In attachment, my latest roto/tracking/compositing attempt