Seems odd. It wouldn't hur, however, to ensure you add the Captivate files (.SWF, .JS, .HTM and any others) to your list of Baggage Files for the project.
Sounds like the Captivate cannot find its files.
Those files are not in the Baggage folder – I will put them there and try again. Are they supposed to get into the Baggage folder automatically when I import the SWF?