Do you have the DNxHD codec installed on your system?
Yes. I can easily import any Quicktime based DNxHD file. But not MXF based files. The new Blackmagic Hyperdeck Studio is able to record them. You get 1 video mxf and 2 audio mxf files. PPro currently isn't able to open them. It would be great if this is supported in the near future. If anyone from Adobe wants to have some of these mxf files, please let me know. I will provide some files.