technically, you can request any project item's image at any time and in any order you wish. take a look at AEGP_RenderAndCheckoutFrame sepcifically, and AEGP_RenderSuite4 in general.
that being said, i'll rephrase on what Mylenium said. AE's work scheme revolves around rendering frames randomly, and only on demand. rendering something sequentially and in advance plays against the whole of AE's "user experience". HOWEVER, some effect require that, and taking the the user's experience into account, some solutions were found that recocile that. for example, AE's camera tracker does it's sequential processing in the background while letting the user know of the progress without blocking the ui and allowing the user to continue working in the mean time. "lockdown" does something similar, and a few other plugins do their own thing to achive some "sequential pre-processing".
so you should decide what's best for your users:
1. fast sequential pre-processing at the cost of usage intuitiveness.
2. slower, "random access" kind of processing, while gaining simplicty without waiting for the whiole pre-process to finish.