You are not using the right workflow. File>Adobe Dynamic Link>New Premiere Pro sequence is working exactly as designed and exactly the same way it has always worked.
If you choose Fine>Dynamic Link>New Premiere Pro Sequence what you end up with new footage in the After Effects Project. This footage is an empty Sequence that opens in your existing or a new Premiere Pro Project. You can then add any media you have in the Premiere Pro Project and edit the sequence into something that can be used in After Effects. That new sequence will be dynamically linked back to After Effects and treated as any other media asset in After Effects. The original media (footage) used in the Sequence will not be imported or available in the After Effects Project. For me, this feature has very limited usefulness because there is no way to adjust any of the timing inside AE, you have to go back to Premiere Pro. I see a couple of situations where this is an efficient workflow. I probably use this feature about once a year to pull in an edited sequence where I am cleaning up an audio track or finding a specific part of a very long shot. I will also use the feature occasionally when I want to apply a specific effect to sequence of several shots. This is the only way to get an edited sequence into After Effects as footage without having to render.
If you want to use an After Effects Composition in Premiere Pro you need to create your composition in After Effect and then go to Premiere Pro and use File>Adobe Dynamic Link>Import After Effects Composition. This will not import the media (footage) used in the After Effects composition into your Project Panel in Premiere. The dynamic link server will launch and give you the opportunity to find a AEP project fine, look inside that project and then choose one or more of the compositions to import as media into your Premiere Pro Project. If you need access to the original media use in the Composition you will need to find it and import it into Premiere Pro.
If you need to have the original media (footage) available in After Effects for further editing you will need to select all of the shots you want in your Composition from a Sequence in Premiere Pro and then use File>Adobe Dynamic Link>Replace with After Effects Composition. When the Comp is created in After Effects the footage will also be imported to the After Effects Project. You just have to be careful when you select the shots used in the Premiere Pro Sequence and make sure that none of them are After Effects Compositions.
All of this information and more detailed instructions are available in the help files. You should probably spend a little time studying up on workflow. As you get to know both programs a little better you will get a better understanding of how the programs talk to each other.