Here's a test graphic that has transparency...
To create this kind of graphic, I'm using GIMP, a free program VERY similar to Photoshop. The secret sauce is in the key mask, I've simply put a gradient in it to create the transparency fade. Notice that this file doesn't have a background layer. Export into a file that supports layers/alpha, like PNG. JPG DOESN'T work for this...
In the ATEM software, I'm using this in the DSK. Set your DSK keyer to use MP1 for the fill source, and MP1 Key for the key source. Also check the button for Pre Multiplied Key. Viola!!
Final key...took me an entire 5 minutes to do this, fairly simple. If you need more help in the creation there are HOURS of tutorials online...