There are several reasons why this wouldn't work, especially during preview. I'd like to ask you a couple questions and have you try a couple things.
1. What file path are you saving your project to, and what location did you copy the XML and image files to?
2. Did you try publishing your project, and copying your additional files to the published locations?
3. Did you try the same steps as above, only using the deploy-to-web version posted on your server? You would load the application by going to your web browser and typing something like: http://yourserverhere.com/.../deploy-to-web/Main.html.
Let me know if any of those work. Because Catalyst cleans the space where preview files are kept, it would be difficult to have your scenario work during preview. However, you could probably get it to work in a published version.
After looking through the older posts it seems that this is a well known bug... One of the tips was to copy and paste the mising XML or AS files to the same folder that One where the imported SWF file is located -- this tip was form one of the Adobe employees, who quickly realized that he was using a later build then Beta2... I only hope this is true and the release version (or any additional betas that might be released) will address this isse.
The first time I tried to import an XML drives SWF to Catalyst it worekd -- but this was only because the original swf file was pulling the XML and related data from the web... (Which rings all kinds of security alarms, and my anti-virus software disabled downloads from external sources)... But at least this indicates that it can work in Catalyst.
I hope Adobe is going to release another beta and we can start discovering new bugs / issues rather then rediscovering bugs that have already been fixed.