It should keep them linked. If it doesnt just wait for a sec. When you open up Premiere with linked comps it has to open up AE in the background as well to provide the frames rendered on-demand. If that doesn't do it for you, than you might try going to your task manager and kill all AE instances. But make sure you're not killing the one you're working in at the moment if you are. You can guess bu taking a look at the CPU and memory usage.
After you kill AE instances and DynamicLink server (i dont remember the exat exe name) just try linking one of the comps again by right clicking it in the project window. Once you link it the rest of the files should link automatically.
It happened to me several times and i even developed a small piece of software for myself to do that whole procedure for me. It works most of the time.
I hope it helps. Good luck.
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