This is what I think your issue is.
When you consolidate to Avid media, it creates separate Video and Audio files (Op Atom MXF media).
Premiere seems to be trying to connect to the original XDCAM media , which has the audio embedded.
In Avid, instead of consolidating, can you try transcoding the audio and video to Avid DNXHD 120? Then try to export AAF again. Make sure you are exporting from the transcoded sequence. Now see if Premiere can figure it out.