I have created a 1 min 16 second composition which looks perfect in AEFX CS4 and which I saved as an AE file. However, when I tried to open it in PP CS4 it results in the attached image. I have used KeyLite before without a problem
Is it possible that you exported the AE Comp as a Premiere Pro project and opened that project in PPro? Premiere Pro doesn't have the Keylight effect. You would have to export a movie file or send the AE Comp to PPro through Dynamic Link (if you have Production Premium or Master Collection).