Prerender nested sequence
You might be doing nothing wrong.
I find dynamic linking between Premiere and After Effects still slow and buggy in CC2020.
If I have a complex comp in AE, I would pre-render in AE, not using the pre-render function in the Compositions menu (because that seems to irreprably delete the original comp, unless anyone else knows otherwise?), but by exporting the comp as a ProRes file.
Then you have two choices:

If you trust dynamic linking:
Place your pre-render video above everything else in your comp in AE, and see if it beahves better in Premiere.

If you don't trust dynamic linking:
Bring your pre-rendered ProRes .mov file into Premiere, where it will play quickly, and disable your dynamically linked comp.