HEVC with Transparency in QT Player . . . what about FCP?

Since you already have Compressor, the answer is YES. Just create a custom export setting in Compressor - call it, say, "HEVC with transparency". You can simply duplicate an existing HEVC setting, leave most of the things at automatic, and make sure that "Preserve alpha" is checked.

Then in FCP->Preferences->Destinations, add a new one of the "Compressor Settings" and choose the setting you just made.

After this, it is just a matter of

I see this box with either 8-bit or 10-bit, in a Quicktime movie.

You can also just make a new setting (click the + sign at the bottom left), choose Quicktime movie, and then select HEVC (8- or 10-bit), and the Preserve alpha checkbox become active (it is always there if it is a Quicktime movie, but may be dimmed).

Are you choosing Apple Devices? I don't think that it shows in that case.

With the setting selected, click on the Video tab in the Sidebar. Scroll a little and you should find it:

For someone without Compressor, it is still possible but more tortuous: export with transparency using ProRes 4444, open that in Quicktime Player and export from there to HEVC.