If you do want to do the chroma key pull inside Unreal I would use Keylight in AE to pull a really good matte and then inside AE fill the background using matte with a nice solid green with no grain on it. I would also degrain the footage in the foreground.
Then bring the footage into U4 with the solid clean green background.
You also bring 3 movies in one for each color channel ad play around in the material editor and see what happens if you combine them. 