Edit- I figured out out to export into AVI but I don't get any sound with the rendered movie?
since After Effects doesn't export to video files
Sure it does. You may want to start reading the Help file.
Check the box that says Export Audio.
As Jim says, After Effects can and does create video files. Here's an overview of rendering and exporting from After Effects.
Start here to learn After Effects:
Regarding your original question:
Not all effects that work in After Effects work in Premiere Pro.
And regarding your audio question:
If you have After Effects questions, bring them to the After Effects forum.