If you're adding effects in Premiere Pro and then sending that to After Effects, not all of those effects will survive the trip. See the last table on
this page for a table that lists what effects are converted when going that direction.
The presumption is that if you are doing any effects work and using Dynamic Link to After Effects, you are going to do the effects work in After Effects.
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Todd Kopriva, Adobe Systems Incorporated
product manager, professional video software
After Effects team blog
Premiere Pro team blog
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