We know nothing about your comp, your source footage, your effect settings or even what version of AE. Yeah, those are Alpha fringes, but then what? You have to provide much more information if you want people to tell you how to do it better.
Yes you are right my friend....
It is a 1080i footage shot in a photographic studio with proper and even (diffused) lighting.
The comp is 1080 (resolution).
I first refined the footage (smoothed even more the green backdrop, eliminated even the slightest noise (it didn't have much anyway).
I exported it totally uncompresed (Quicktime mov - uncompressed)
and I reimprted the perfect and uncompressed clip and started apllying some effects first in order to smooth any hard edges and generally to prepare the clip for keying.
But when the actress joins her limps or arms and there is a very small area between her limps mayby Keylight cannot grab the green color in this tiny area and I get these white
I guess that eventually I wiil have to mask the footage.....
I use After Effects 5.5
If you shot it with a photo camera, you still recorded a compressed H.264 clip, no matter what (unless you recorded directly through HDMI or some such thing). Therefore you may simply have some artifacts in those places. Before spending endless hours trying to fix the key, I would simply remove the issue with masks. Otehrwise you could try to play with Keylight's Alpha Rollabck and Matte cleanup options, but again, it will probably take longer than masking and affect otehr areas as well, which you may not want.
You just need to clean up your matte. Masking, a separate key just for the legs, something like that.