Just as an FYI, it works. Let me explain how I did it.
1. Render a chroma keyed video in Vegas.
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2. Turn on "Show Mask Only" for the chroma plugin and render another video for the transparency.
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3. Using a billboard, put the first video on Diffuse and the second video on Opacity.
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The caveats are...
1. iClone only accepts WMV and AVI from Vegas. For other formats it says "Your system cannot find a codec." (?)
2. My tests used full frame videos (1280x720), a reallybad idea because the real time playback between the two videos is really jerky. I'll try it again with smaller videos.
3. The opacity video leaves a small black border outline around the video image as you can see in the last still image above. I'll try to reduce that with blur in Vegas.
I think this will work though.