Correct. AE measures the values between one keyframe and the next and then does the math to figure out how much motion blur to apply. No keyframes come from premiere (that I’m aware of – but I’m not a premiere guy). What comes out of premiere is just a movie. You might be able to export keyframe data in an edl but I doubt it. Do the animation in AE (where it should be done anyway for best control) and apply the motion blur there and then bring that rendered element back in to Premiere (with alpha if needed)
You could apply a smart motion blur effect like Real Smart Motion blur which can look at the pixels and figure out the blur from a movie that has no motion blur on it but the effect has its limitations (and it’s not cheap) – if something comes in from an edge the effect doesn’t know what to do with those new pixels because as far as it’s concerned they haven’t started moving yet, they just appeared. Overlapping objects at different speeds can also cause trouble. Its not perfect but it is impressive given what it’s got to accomplish. It’s literally tracking every pixel. A doff of the propeller beanie to the guys who invented that!