I tried it in Vegas 10 to see if it was always like you described and in Vegas 10 I can copy/paste between projects w/o issue. However, the new project had different properties & my preview stuttered pretty bad. Try right clicking on the event in each project & compare properties, make sure it's only transferring 1 frame or if it says it has all but won't display.
Make sure Vegas doesn't keep files locked when it looses focus, then maybe it can't read in the other instance.
Worst case is just re-import the imported image sequence, no need to use a nested project (or render out a video).