DaVinci Resolve does not support GIFs, which is a bit of a pain when you want to use GIFs in your videos.

Thankfully, you can convert GIFs to transparent mov files with ffmpeg! This way, the GIF transparent background will be a transparent background in the mov file.

ffmpeg -i source.gif -pix_fmt yuva420p -vcodec qtrle target.mov

After converting the file, just import the target.mov video into your DaVinci Resolve project (drag and drop the file into the timeline).

qtrle is the Apple QuickTime RLE codec, and it supports transparency! However, transparency only works when in a mov file, not in a mp4 file.