Pretty much normal behavior on many NLE's, not just Premiere Pro. Timeline renders aren't meant to be permanent, just to make playback on a variety of timelines possible on a variety of computer setups. To eliminate it within Premiere Pro, simply create the keyed composite shot with some handles, set in/out points, export it, import that to the bins, and drop the comped shot in your timeline.
If it is chroma key, I often get superior results using After Effects to comp the shots. Once saved, I can go back into that AE project and make alternate versions later if I require them.
Nature of the beast.
Dell Precision T7600 (x2)
Win 7 64-bit
Adobe CC 2017.1 (as of 8/2017)
256GB SSD system drive
4 internal media drives RAID 5
Typically cutting short form from UHD MP4, HD MP4, and HD P2 MXF.