Resolume records to photoJpeg currently an this indeed doesn't keep the alpha.
NDI output from Resolume however has alpha, if you send content with alpha.
I'd guess, either your output has a black background, or the NDI recorder doesn't support alpha.
If you preview the NDI source in Resolume by double clicking on the server in the sources panel, does it show transparent?
Check the slices, that you don't have this checked: