Just open up the comp. It should do that automatically.
When I do this, I just get an empty comp.
I think you're going about this all wrong. If you go to Adobe Dynamic Link and pick Import Premiere Pro Sequence you get a movie not a composition.
I don't think that's what you want.
If you go to File>Import>Premiere Pro Project you get all of the footage, the bins, and either all of the sequences as compositions or a selected sequence as a composition. Only cross dissolves and cuts come across but the AE project can quickly become unmanageable if there are lots of cuts. I cut a feature film last year in Premiere Pro and there were just a little over 3000 edits. Can you imagine working on a comp with 3000 layers???
The project looks like this:
The only difference between importing a movie and importing a Premiere Pro Project using dynamic link is that you can go back into Premiere Pro and re-edit the movie, then bounce back into AE and see the edits without rendering the Premiere Pro sequence. It's not at all useful to do what you describe in your original question. I didn't read carefully when I posted the first answer.
My usual workflow, in fact the workflow used in the project I'm showing here, is to go to one or a few of the shots I'm working on in Premiere Pro, select them then right click on the selected shots and choose Replace with After Effects Composition. This enables AE, allows me to concentrate on the sequence that needs the work in AE, keeps my AE projects very manageable, and lets me work faster and more efficiently. This runway show First Cut had about 15 effects shots, each requiring only about 3 or 4 layers. If I had imported the entire PPro project I would have had about 500 layers to sort out and the comp would have been completely unmanageable.