First, make sure that the right options are checked in Illustrator when you save the file. Second, create a new illustrator file with 3 rectangles that have a fill and stroke on 3 different layers. Save the file and Import as a comp making sure you can see the options in the import dialogue and choose retail layer sizes. Then open the comp with this test illustrator file select all of the layers and then choose Confert to Shape from the Layer Menu.
If that works then you have done something with your Illustrator layers in Illustrator that is causing the problem. MANY, if not almost all of the artwork I create in Illustrator will not covert successfully to shapes for several reasons. I like to use Illustrator vector tools and gradients that will not convert to shapes in my illustrations and most of the artwork I create in Illustrator does not need the add in extras only available on shape layers like repeaters, punk and bloat or trim paths. If I am planning to use these additional shape layer animation tools I make sure that I have not done things to the layers that would prevent them from successfully converting to a shape. If you are not planning on animating the path of a vector file (Illustrator layer) or using one of the add on's then there is no advantage to converting the layer to a shape inside AE.
I hope this helps. I'm adding Illustrator files to AE as comps almost every day.