I just tried choosing "Import Sony XDCAM" from the file menu without having my EX1 connected and the Sony Transfer Tool started up within FCP and I got this prompt in the main Transfer Tool window:
"Use the Add button or insert media into a connected XDCAM device"
I got no warning about not having the correct codecs installed, so I don't know why you're getting that warning on your machine. The XDCAM codecs reside within FCP and not with the Sony Transfer Software. Just double-check that you have the following bits to make it all work:
FCP v. 6.0.2 or better
Mac OS 10.4.11 or better
Quicktime v.7.3.1 or better
Sony Transfer Tool v.2.1 or better
Sony FAM driver