I installed Movable Type 4.0 on a test domain and database, and lo and behold, it appears that they have completely dropped the original import system. This means that if my WordPress to Movable Type Export script is to be able to help out people who are using Movable Type 4.0 (when it comes out of beta), I will have to rewrite much of it from scratch. The new backup system is actually very slick, but it is actually now for storing an entire blog it would seem. That's a real change from the days when it just exported entries, comments and trackbacks.
We're still deep in the throes of beta-dom -- if you've got feedback about what we should be doing with the Import system, please do let us know! I don't know how much the WXR importer covers the territory you're looking at, but we're open to any suggestions you've got.