This has been my biggest request for a few years and one of the reasons I haven't bothered to upgrade from CS3 yet. They did such a nice job with AE, still nothing in PPro. Hopefully CS6, but I'm doubting it will happen.
In windows, Premiere does have a crude form of color management.
It will attempt to convert everything you see on screen to sRGB. Internally, Premiere Pro will work in Rec.709 on conversions, and sometimes RGB32 depending on what video effect you have hanging on top.
So in windows, if your monitor is calibrated to sRGB, you are seeing what you will output when you create your deliverable.
This is what the Adobe software engineer demonstrated to me at NAB 2010. Not sure how it functions in OS X.