Recommend you start by building the latest version of libvpx itself on a 64-bit Linux workstation. The libvpx test suite should include a test for alpha-channel. Ensure that test passes. If it doesn't, that's a bad sign, because libvpx is the reference implementation for VP9.
If it does, the next step would be to attempt an alpha decode and overlay using a higher-level library, still on Linux. I suggest using GStreamer 1.8.2 or higher. Overlay your clip on top of the "videotestsrc" generator, which will generate most video formats.
If either of those tests fail, I would recommend you closely investigate why before proceeding.
The reason for starting on Linux is that you will have an easier time building and troubleshooting, and I suspect you may be hitting an edge of the specification that hasn't even been implemented in the reference implementation (libvpx), or which is difficult to integrate into higher-level libraries (hence the GStreamer suggestion).
That said, while I have significant experience with VP8 and libvpx, I have not used the VP9-specific feature set. I'm curious to follow your efforts, however, and may be able to offer advice as you make progress.