I get the same issue. Even when I import an image (JPG) directly onto the stage, the graphic holder appears in its place even though the image itself is visible in the Library as how I saved it.
Anything that was grouped in PSCS3 or AICS3 comes over into Catalyst labeled correctly, but when I expand the group folder, it is empty.
All demonstrations I have seen on Flash Cat show images and layered properties come into Catalyst as they were saved from the AI or PS so I am not sure what the deal is either.
Never got AI CS3 to work properly but I was able to create all the layers with Photoshop CS3 and open that in Catalyst which then prompts to keep layers editable and has an advanced button with a few more selections. When I create the Catalyst files this way I am able to work in similiar fashion as the video tutorials. Because my PS CS3 has so many layers for each component I have grouped each component's layers into a folder but I haven't yet tried to bring it into Catalyst. I will post here whether this works or not. Now my problem is the shear size of the PS CS3 file including all graphics for all states is huge and I now have to upgrade my motherboard to allow the addition of more RAM. But I must say this makes it simple to create an elegant looking web site.
Now if Adobe will create the 64bit Flash Plugin for Windows things would really get productive (Adobe personel if you are reading this how about allowing some outside developers to port it for 64bit windows and a native Cocoa release so Apple can't thwarte your CS5 initiatives.)