MXF is not a codec Lars. It's a container. In that MXF in Vegas is an Mpeg2 codec that is encoding essentially XDCam or XDCamEX. It should be quite similar to working with HDV.
I just wish it wasn't so lossy. I do use it sometimes, but after a round of codec tests tonight, I think I am going end to end with Jpeg2000. Better quality, smaller file sizes. I just need to work out some details and make some presets.
Have you tried Cineform Neo Scene? Its about $100 and can transcode quickly transcode files to the almost lossless cineform codec. In my experienceVegas has always played well with Cineform.