So the initial dumb thing is that this "Dynamic Link" deal relies heavily on file names. So if you increment and save, the link is broken. Except it's not *just* the filename either. If you try renaming the new file to the name of the old one, it gets even worse. Editing any clip breaks every composition imported from that file, forcing you to hit "Link Media..." every time a change is made.
Pretty simple and straightforward once you figure it out. After you Link Media back up in Premiere Pro, right click on any of the compositions and Edit Original. Now Premiere Pro will behave itself when After Effects modifies the file.