seems to work only w/ DV media! hahaha...
From a post in this forum:
"Having spent ages trying to move DNxHD files between applications it seems that AAF import only works with DV footage. I think Adobe needs to be a little more honest with their marketing spin, pinging dv files bewteen apps is not how I imagine most editors would use this round-trip process."
If you want to spend about 200 dollars, there is third party MXF importer available.
Works quite well, I've done lots of AVID project onlining with Premiere/AE.
You have to install Avid codec pack too.