Most Premiere transitions don't import into AE. They are created with an entirely different process than used in AE. AE is usually used to work on shots not to do editing. I hope this helps.
It's a bit confusing, but it's there. If in the Adobe Media Encoder dialog you get in Premiere Pro, you pick Quicktime as the Format, Animation as the codec and then set codec settings to "32 bit", it will render RGB+Alpha. Even if it doesn't state that clearly.
If you have Premiere Pro and After Effects as part of Production Premium, you can just drag the Premiere Pro sequence from PPro's project panel to AE's project panel, and this will show as a clip/layer in AE which is dynamically linked to the Premiere Pro sequence - any changes you perform in PPro are updated automatically in AE. No need to export a video file at all. But again, this doesn't work if you got PPro and AE as individual products.
I think it's a simple workflow problem. DynamicLink is one option, simply importing the Premiere project into AE would be another. This way, a minimum of Dissolves and Wipes can be retained (Dissolve, Dip to Color, Linear Wipe), but only if you use the Adobe versions. If you use optimized routines, e.g. associated with a specific video capture card, then they won't come over. The limitation with the Replace with AE comp method is, that it only treats your snippets as a "dumb" footage container, so generally it is not the best way to work. It's realyl more meant for rough cuts sans transitions and title creation...