I have the latest software and use a macpro with osx 10/7.5
When you say "the latest software", could you please be specific (down to the last decimal points) on both Premiere and AE's version numbers?
PP cc 7.2.2
AE cc 12.2.1
You say 'direct link', but I'm pretty sure that you mean 'Dynamic Link'.
Direct Link is a very different thing, and it only works between SpeedGrade and Premiere Pro; it is, roughly speaking, the inclusion of the rendering engine of one application inside of another.
Yes, I mean dynamic Link, sorry.