The problems here are arising from a slightly underlit green screen, I think. Particularly around the edges and top it gets noticeably darker, which is where you're having remnants of the screen remaining.
In PhotoKey 4 there are new tools for dealing with this. Using the new 'Alpha levels' tool and adjusting the black point to 21% alters the contrast of the key and removes the problem areas.
I note that you're using the PhotoKey Plug-in, so you won't have access to this tool in the plug-in itself. I'm not a Photoshop expert myself, but I would assume that you can adjust the levels of the keyed layer's alpha channel? If you can do that then you should be able to get good results.
Here's a quick example composite I did: http://tarn.fxhome.com/forumimages/dog.jpg