Not all parameters are keyframable. In particular, the CF Curves and Hue Offset wheels are not keyframable. The problem with keyframing these is that it's not easy to determine how you intend it to work. For things like the hue wheels, moving between one setting and another often moves through some very ugly color adjustments.
You can tell which parameters are keyframable by looking for the little "stopwatch" icon in CF's Simplified Interface.
Try adjusting your keyframes and Color Finesse settings using CF's Simplified Interface in Premiere's Effect Controls palette. The timeline there makes it easy to ensure that you're adjusting an existing keyframe and not creating another one because you're one frame off. That's a mistake I make a lot both in AE and PPro.
Bob Currier
Synthetic Aperture