If this helps, I have P2007 & Visio2003 installed on a machine.
Project 2007 does not allow me to utilize reports for Visio 2003. It worked
fine for the beta (I had Visio 2007 Beta as well), but there is no
cooperation with Visio 2003 on the reporting side.
I have not tried a direct import, but it seems the answer is pretty clear.
Maybe one of the MVPs has a work around and will post.