From the Comprehensive Rules:
711.12. When a double-faced permanent transforms, it doesn’t become a new object. Any effects that applied to that permanent will continue to apply to it after it transforms. Example: An effect gives Village Ironsmith (the front face of a double-faced card) +2/+2 until end of turn and then Village Ironsmith transforms into Ironfang. Ironfang will continue to get +2/+2 until end of turn.
A transformed creature is the same creature it was before. Auras don't fall off and temporary effects don't go away.
Now, "exile and return transformed" cards leave play, so they will enter as new objects.