Only a subset of effects from Premiere Pro are transferred to After Effects when you use the Replace With After Effects Composition feature.
The last table on this page gives details about what is transferred when bringing material from Premiere Pro to After Effects, whether through copying and pasting or through Dynamic Link:
http://helpx.adobe.com/after-effects/using/importing-effects-premiere-pro.h...
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Todd Kopriva, Adobe Systems Incorporated
After Effects quality engineering
After Effects team blog
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