The proper workflow is to make each shot a separate composition. Trying to bring an entire edited piece into After Effects and then pull keys and do composites on the entire sequence in one comp is going to become incredibly difficult to manage and you are asking for rendering problems. Just do one shot at a time. It will actually take less time and you will have much better control over your workflow.
Transitions in Premiere Pro and audio mixing and a bunch of other things do not come over into AE because they use and entirely different process. AE was never designed to do what you are trying to ask it to do. AE is for creating visual effects shots and motion graphics that you cannot create in an NLE.
I have a fully edited premiere sequence (with transitions and effects, etc) that I now want to take all the clips and use the keyer in after effects to green screen them.
do you know you have a perfectly capable keyer in Premiere called ultra key?
I seem to remember a time when you could edit clips from premiere pro in after effects and then the clips would stay in their cut positions with transitions and everything back in premiere.
that's right. simply copy pasting the sequence from Premiere to Ae will bring a composition and preserve the cuts in Ae while Premiere won't change anything. once in Ae, bare in mind transitions and maybe other effects won't cross over properly. also in places where you used time stretch, you may have to manually stretch a footage layer a frame in some places.
However, I tried selecting all the clips that need to be keyed out and "replacing with after effects composition"
this is a different process. by doing that your are creating a Dynamic link between After Effects and Premiere and creating a live composition in Ae that is linked to a Premiere Clip. usually you use this option per clip and not for a sequence of clips. although a quick way to move to Ae might be to do replace with Ae composition and then in premiere hit undo so you keep your premiere edit and lose the dynamic link (more on that later)
As far as I know importing a premiere sequence in after effects and replacing with after effects composition creates same results.
if you import->import ppro project then essentialy yes - it's like you replaced with Ae composition (and hit undo in premiere) or you copy pasted the sequence (or clips) as described before.
Does anybody have a quick fix for what I'm talking about, if that makes sense?
if you don't want to lose Premiere Keyer, and want to preserve your editing capabilities in Premiere, the most efficient way to do this would be to work one clip at a time as a separate composition. finish your keying and work and then render from Ae a digital intermediate (a lossless or virtually lossless format) and replace it in premiere.
to work one clip at a time, a common approach is to select in premiere the clip you want to cross over, and right click -> replace with Ae composition. now you are left with a choice:
1. you can keep the dynamic link between apps. work in Ae and finish your work and save and it will update in premiere
2. instead of #1, many users prefer to not create a strain on the render so they prefer to hit undo right after sending the clip to Ae. this will lose the dynamic link. then finish your work in Ae and render to a digital intermediate and replace it in premiere.
I'm in agreement with Roei to use PPro's Ultra-keyer as a first option. If you have a well-lit scene, shot with a good camera, and semi-transparent objects are not at play, then Ultra-keyer should do the job nicely. Your only issue is with setting up a Lightwrap effect in PPro if you need one. Of course, there is the possibility of using AE for a LightWrap treatment.