I believe Premiere Pro will keep the YUV color space on all YUV material (normally only video, still images are usually RGB) for as long as it can, all the way through the pipeline to export. But there are some things which can force an internal RGB conversion, like the addition of an effect which does not work in the YUV space. So far as I'm aware, once converted to the RGB space, it will stay there until an export forces a conversion to another color space.
So the PSD should start out as RGB and stay there both in AE and PP, until an export to a YUV format forces a conversion.
The difference you see between the programs may come about because AE is color managed, whereas PP is not.
Eh, I was pretty close.