true, isn't there another animated image format though that supports true color, I'm going to look it up sure I happened across it a while ago.
There are alot of formats that support Alpha. BUT most have limitations, Size being the biggest one. Then some even have color limitations such as only being 16 bit instead of 32 bit color.. which i guess isnt as bad as 256 colors
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Then i remember Stardock talking in a steam that getting an alpha video format itself wasn't so much of the issue as it was more that they had a hard time playing a video playing over the top of another video smoothly. And as i said before, size is a consideration as most of the other formats don't have great compression that's why bink is so popular when it comes to games. Not only do they have to be able to quickly load a video but there are multiply videos for each state of the AI, happy, angry etc. Another thing with size is there are limits to the max size a mod can be in the worskshop so that's anther thing to consider. Sure one AVI file with alpha might not be so bad but you know people are going to want to add like.. 50 of them to a race mod so the size adds up, not the mention the memory usage needed to have to loaded in the background.
And the the issue, which they are facing atm is the Licensing issues, Quicktime for example has alpha channel options. but im sure Apple (i think apple still owns it) wouldn't want to give it for free to Stardock for everyone to use. even know there are free Quicktime versions. And then of course the whole compression issue again.
Now im no expect most of this is just second hand knowledge i have picked up so maybe im completely wrong, but ill be curious how stardock goes about tacking this issue 
OH one thing i forgot to add, Piracy.. sure they could add full support for even Bink2 right now if they wanted, in fact im sure there are ways to already get it working if you know how. But if they officially support a format that they know people will have to pay for to use, most people honestly will just pirate a Bink2 converter. Then the people who make bink, or any other format they might use, wouldn't be very happy having Stardock indirectly incentivise to there customers to pirate something.
EDIT: one idea that came to mind.. im not sure how much a Bink2 license is.. but maybe stardock could have a small DLC for like $2 or something that basically lets you convert your own videos within GalCiv3 to bink2 format or something. that way people who make mods dont have to pay full price, its still money that the company who owns bink is getting. And Stardock wont have to fork out a small fortune to have the option for EVERYONE to use it, cos really not everyone is going to be making videos just a small handful.
also an interesting read on why Bink2 is so good for games is on there site, maybe check it out if you interested 
http://www.radgametools.com/bnkmain.htm