Two of the three solutions are described by 'L0Lock', thanks for your effort.
The issue here is that Blender doesn't consider a volume with a density of zero can possibly affect the alpha as it's a volume that doesn't "exist".
So one way to fix that is to adapt your Principled Volume shader with some density that can be rendered:
Here I just set the density to 1 and plugged your color ramp into the Principled Volume's color.
Alternatively, you can keep your shader, but instead of using the alpha pass for the Alpha Over's factor, you just use the beauty pass (the full combined "image"output from the render layer node) which has its own straight alpha. It's not ideal, but it works by simply leaving the factor input empty:
This one thanks to 'Game Abuse Studio' found here:
Actually this one worked better in my case. The basic here is that is a png render, and I added a background in post production.
If you're a beginner like myself that don't know how to use the video editing and all the render properties, I can't solve one issue.
When you group the image sequence and render, the transparency vanishes. But when I grouped in another software like Davinci Resolve worked very fine.