Transitions in Premiere Pro CC 2015 with After Effects Sequence
Often (and perhaps in your case) what is happening is the following.  Initially you have a clip that has plenty of content before or after your transition point.  You trim that clip to represent the content you actually care about.  If you do a fade at this point, the fade is going to use frames from the trimmed part of the clip that you don't necessarily see, but which are there (and which are used to complete the fade).  Now, if you send your trimmed clip through some external process, it doesn't send the /whole/ clip to the external process, just the frames you "see".  That clip that seems properly trimmed doesn't actually have the frames to allow the fade to complete the way you want it to.

To fix this, send a longer trim of the clip to AE, then, when it comes back, re-trim it to what you want.  You should find the fade working as well as it did for you initially.