Yes it should work on loaded swfs.. If your parent swf is opted in for advanced telemetry data then you should see data from the child swfs.
Which panel in Scout were you looking at?
I'm looking at the actionsScript panel and can see info only from loader, also frametime works only when loader works, when game is running, frametime in too low...
What kind of content are you loading? If you have a sample swf that shows the issue, please attach the swf.