Did you ever find an answer to this? I have the same issue in CS4. I cannot even import multi-camera sequences between Premiere Pro projects, much less into After Effects--one camera or the other is always chosen. Transitions are there--transitioning from camera A to camera A. Very frustrating--we should be able to import the sequences and have the cuts/angles respected.
In CS4 you can right click on the original clip and select "Replace with After Effects Composition". Do your work in AE on that clip, then when you get back to Premiere, the AE work should show up in those clips in the multicamera sequence. Do this for each original clip.
In earlier versions, you'll probably have to open each clip in AE and save out a new version with effects applied. Relink the clip in Premiere to that new version. That will allow the effects to show up in the multicamera sequence.
Hiya guys - thanks to both of you for replying - I never did get to find out what Premiere should do in these circumstances, and ended up making my own sort of multi camera by resizing the clips so that I could see 5 of them at the same time, then chosing one of the shots and resizing that one back to normal again. This took much longer that using the proper Multicamera funtion, but was still miles quicker that the alternative.
I would like Premiere to put in a function that allows edits from a multicamera timeline to be boiled down to the individual shots chosen, this would allow import into After Effects, and also for timelines with multicamera edits on them to be put into another multicamera timeline, making it possible to mix down 16 camera or angle or takes. IE - shooting a boy band video, with 4 members, all the wides one one, mids on another, then CUs and BCUs. That would be fast!
Multicamera is a great function, however, right from the word go, I was looking for this last step to be there and it wasn't.
I've watched Premiere evolving slowly over a few years, lets hope Adobe read and take note. If you find a way to do this 'boiling down' I'd like to hear it.