Vegas doesn't include a codec to handle it, and Panasonic has never just given codecs away freely so you usually have to purchase something. Raylight is what people seem to use most for P2 footage.
Raylight is ok, but Vegas can't seem to figure out how to preview Pan/Cropped MXF files which essentially makes Raylight semi-worthless. I don't want to waste time rendering to intermediate AVI's, that's what P2 was supposed to fix.
Also, raylight ultra is around the corner, sometime soon I hope, and I think its supposed to fix this and an audio bug, as well as give us all four channels on the timeline and access to metadata.
Can't wait!!