Not sure, but CD Architect is for creating an audio cd so I'd guess it is not meant for importing video. But even if you can import video, this software hasn't been updated for a long time so modern codecs/file types may not work.
I have the same problem, i am waiting for solutions. Excuse my english.
With no information about your projectsettings in the Vegas program and the used type of source files nobody can help you. So follow the given link and write here the info that is asked for otherwise help for your problems is impossible.