shouldn't be any quality loss, however, I prefer to render out from AE and place the file on a video track directly above the AE comp. If you need to make changes, you can always go back to ae, but you're not relying on on the AE comp in premiere which can sometimes get a wonky.
Basically echoing mrgrenadier here, but I wanted to add:
- If you're doing a chroma key you should do that in After Effects and not Premiere. The tool is better and there are some helpful utilities.
- You can send your clips to After Effects via Dynamic Link or simply copy the clips from Premiere and paste them into an After Effects comp with your desired settings (should be the same as your footage). I typically will go back to Premiere and Ctrl/Cmd+Z to Undo the dynamic link once I've used it to send the clip(s) to After Effects.
- To answer your question 1: While you can keep the dynamic link, I prefer to use the method you just outlined: export the clip from After Effects and Import it into Premiere like it were a normal piece of self-contained media.
- To answer your question 2: There are codecs that maintain a high quality when sending footage between software. Codecs like ProRes, DNxHD, and Cineform can maintain close to original quality. Do not use something like h264 or HEVC. Dynamic linking would also maintain quality, but again - I personally tend not to do that.