I had this issue two or three times in CS4.1 and i think it's still present in CS4.2.
It killed the whole editing day when it happened for the first time.
If you have a very long XDCAM clip (let's say hour and a half) it will import just fine using Media Browser window,
but it will be all black in source viewer and playback will not start at all.
The only solution is to take actual MP4 files from the original XDCAM structure, copy them to another location and import these
splitted MP4 files separately on by one.
Hope this would be helpful to someone.
Alternatively, you can export the spanned clip to MXF for NLEs using Sony's Clip Browser without any quality loss.
The resulting .MXF file (singular) will import just fine into Premiere Pro and playback will be as smooth as with other native XDCAM EX files.