I use the Chroma Key thing as well and have not had any issues with it - however, I use the straight frame outputs only, I don't output video from KS. I think if you have KS output a AVI or MOV or whatever you have a better chance of experiencing bleed and such as you're pre-processing the frames into video. Importing the frame stack right into Premiere you're working with the raw frames and I feel get a much cleaner/crisper result. The key should pull out the color from the whole image (reflections/shadows/highlights/etc) in varying values - i.e. the full green background would be 100% take-out whereas some green in a ground shadow might only be a 5% take-out.
PNG frame outputs with Alpha also works, but in the past I had run into issues when doing fade animations on transparency.