Can't Import Video with Alpha to Premiere
Only Prores 4444 supports alpha channels, see the manual:


  The Apple ProRes 4444 codec offers the utmost possible quality for
  4:4:4 sources and for workflows involving alpha channels.


It seems to work for me, using the Animation codec with "Millions of Colors+". I'm on a Mac using Adobe CC. Here are the steps I took:


Export your AE comp using Quicktime Animation codec with Millions of Colors+ selected.
Import the file into Premiere CC
Right click on your footage and select Modify > Interpret Footage
Select Conform Alpha PreMultiplication to: Premultiplied Alpha
Press OK
Drag your clip into the timeline


With this you should be able to drag another clip beneath it, and see it through your original clip, as shown below (Intepret Footage settings are also shown):