What hardware are you using? I have a Pioneer DVD recorder with firewire (1394) out and can capture audio/video from cable TV easily (not that I really want to, just tried once as a test). If your output is USB, then I'd think Vegas would have a problem.
I capture video and audio from my cable tv signal with Pinnacle with no problem at all.
Would help if you told us what hardware you're using for the capture, and how it's connected.
If you're using a device (capture box or capture card) that was bundled with Pinnacle software, I'm surprised you got it to work at all. Those are generally proprietary pieces of hardware, designed only to work with the software it came with.