You're using a filter that does not support MP so what you are seeing makes sense.
Thank you for your response Rick. Is it the Keylight filter that is not supported? If that is the case, is there a different keying filter available, perhaps a 3rd party filter, that does support MP?
Search the forum. There are no simple answers here and the whys and hows if and when MP will be disabled have been discussed to death. just substituting your effect will achieve nothing as long as you render to clip files that require sequential processing and conversely use source files based on clips that may not allow this. You're looking for a "which is the best effect" that doesn't solve any of your issues. Rather evaluate your workflow and think about how you can make it more suitable for MP, if that is really that important to you. Still, even then you will have to accept that many times it will not work and AE quitetly disable it behind your back. It's an inherent limitation in AE's rendering pipeline.