I am surprised nobody stated the obvious yet!
Dmerc, if you don't want errors during rendering click on your Loader node. In the File tab you will see the option: 'Missing Frames' at the bottom. Select OUTPUT COLOR and you will see that the default setting is RGBA 0. That's the transparent color you want. Have fun!
This setting has never worked for me.Not sure what the reason but the loaders are keep failing even with "output color" or"hold previous" selected.
P.S. Oh yeah,I remembered.It only works when a frame is missing within the clip length, i.e. if the loader path is pointing to a 10 frame sequence named 1...10 ,the loader will auto set its clip length and global in/out to 1through 10.And If for example frame 5 is missing of the sequence then the loader will output color or hold previous as per the settings.
But if you try to play/render outside its global in/out auto setting it doesn't work.
Need to set them via holding frames in the loader options or merging it over BG which will auto spread its global in/out over the entire project in/out settings when added in the comp.