Is it integrated? No. They're entirely separate programs.
But you can "work with" AE and Vegas exactly the same as you can work with AE and any other non-Creative Suite program. You render from each and use those renders in each.
Suggestion: be more specific with your questions. You've asked a number of very broad questions, and without knowing what you're actually after, it's pretty hard to give an answer.
Forget the rendering, export an EDL. I did this for an entire feature with Vegas 9 and AE CS4. I took each effects shot and exported an EDL, rendering only when I was ready to bring it back to Vegas. When the edit was done, I broke the film up into seven projects or reels, and exported an EDL for those to do my onlining in AE. The beauty of this is there is no waiting for renders when you need to go to AE. It's almost as fast as Dynamic Link.
It's been awhile since I've done this, but i used to save my cuts in Vegas as a AAF file then open that file in After Effects, it would not export any effects from Vegas, just the cuts and edits.