Yes, when you send a bunch of clips over to AE, they come back as one long Dynamic Link clip that is the size of your comp. You could send each clip over separately to AE to keep them as DL clips on your timeline, but that becomes totally crazy if you have lots of clips. That is why it is very beneficial to lock picture before you do the hard work of grading.
But, I also understand the need to have the flexibility to make changes. FWIW, my workflow is like this:
Get as close as possible to picture lock on my sequence in Premiere.
Copy all of my clips on the timeline
Open a new Comp in AE that matches my sequence settings. (If I had done any previous DL clips, I use the same AE project – critical to only use one AE project per Pr project)
Paste my sequence into AE – each clip will show up on its own layer, complete with transitions and most Pr effects if you have added them
Do my color grade with Denoiser, Colorista, and unsharp mask
Here is where you can make a choice: You can grab that sequence in Pr as a Dynamic Link and place it on your timeline – this will allow you to keep making changes to your sequence in AE which will be reflected back in Pr. The downside is that you will have to render a preview in Pr which can be very time consuming in order to playback in realtime.
Or, you can render out the sequence in AE (like your friend does) utilizing the multi-processing power of your CPUs. This will most likely go much faster, and then you can import that render and put it into your Pr timeline. The downside is that your sequence is no longer flexible and is baked-in to that file.
Another option is to use Colorista 2 (if that is your app of choice) right on your clips in Pr. Then, you will have absolute flexibility in your editing and re-editing. The downside here is that Colorista is sluggish and the GUI is harder to use within Premiere.
There is no absolute clear winner in the workflows that have complete flexibility and speed.