@Luis, you can actually do this much easier!
Add Highlighter to the green screen clip. Move the OSCs to the corners. Use the Color Mask on the green screen and set the Blend Mode to Silhouette Alpha (selecting the non-green screen material). Set the Color Mask Softness to 150.
Add another Highlighter. Move the OSCs to the corners. Use the Color Mask on the *alpha* region and set Invert Masks. Set the Fill Color to blue (any color will do) with the Blend Mode Normal. Set the Color Mask softness to 0.
Place this clip over one of the background clips.
Create a compound clip of the two and go back to the storyline.
To the compound, add another Highlighter, OSCs to corners. Select the Color you used. Set the blend mode to Silhouette Alpha (I know this is counter-intuitive, but it works). Place clip over secondary background.
No need to change the clip to PR4x4 or do any exporting/importing. (It actually annoys me that making a compound clip is necessary!) Everything is done in the storyline.

Now, if you want, you can take the original green screen clip, key the green out (again), overlay it on top and set the Opacity of the clip to about 6% to "ghost in" the original subject:

There is an even easier method if you don't mind using drop zones. The steps would be:
Add Highlighter and key the green screen — Blend Mode Silhouette Alpha — Softness 150 (OSCs to corners).
Add Highlighter - Apply Media. Select the Alpha (keyed out with Highlighter) — Softness 0. Select Invert Masks. Choose a clip to add to the drop zone. Select Apply Media (option). If you want to "ghost" the original subject, dial down the Opacity slightly.
Add another Highlighter - Apply Media. Select the Alpha (again) — Softness 0. Add a Clip to the drop zone and select the Apply Media option. No compound. (Order of operations not all that important — order of Effects is!)