In Blender 2.79b this works easily and perfectly by just switching on "Halo" in the "Spot" setting. Didn't even set the World's Alpha to "transparent" instead of "Sky".
Now I try to translate this into a 2.82 (oder higher) version. Tried Film->transparent for background and did a long orgy with nodes of all sorts. Material nodes for the Cone-Mesh for volumetric scattering (Node "scatter volume"), every alpha-over, keying etc. The problem still remains: The shadows of the light cone's (I split it into several parts by a slit mask in front of the spot's light source) are rendered black and not "no light but transparent".
I enclose the (simple) blender 2.79b project here; any ideas? MakeLightCone-2.79b