The bundled CF will not work in Premiere. That's why it has "LE" attached. So no, unless you spend money on the commercial version, this will never work reliably. In the cases where it seems to show up, those parts are probably inside a pre-comp, enforcing some effects to render, but that part is not really clear and since I only use Premiere in the most rudimentary ways, I can't say much about that part. But Bob Currier is roaming these forums from time to time, he sure can clarify.
Message was edited by: Mylenium - dang typos
Mylenium is correct, the LE version of Color Finesse included with CS4 is for use in After Effects only. To use Color Finesse inside of Premiere or AME you'll need to upgrade to the full PI version. You can find information on available upgrade paths at http://www.synthetic-ap.com/cfupgrade
And if anyone has the PI version and the color correction is disappearing when rendered by AME, be sure to update to the latest version of Color Finesse. Version 2.1.10 corrected an issue that would cause that symptom.
I'm glad someone else has seen this problem before, I was pulling my hair trying to figure it out.