AVI is just a container and can contain many things, just like any 20' container. It may contains scrap metal, poisonous chemicals, clothing, computers, food, and other stuff. Adobe only likes certain contents in a container, it does not like poisonous chemicals for instance.
If you use AVI with the wrong codec inside, PR balks about that. WMV is another codec, not really suitable for editing.
Glad that you found a workflow for that Webcam footage.
It is not AVI (as Harm states), but what is inside the particular AVI files, that is the problem, i.e. the CODEC used. Many AVI's, such as the DV-AVI, will Import and edit perfectly. Others, like DivX, will not. This article goes into more detail on AV formats (containers, or wrappers): http://forums.adobe.com/thread/440037?tstart=0