I created a flash animation that contains a nested animation within the main scene in flash. When I exported to swf and view it with the flash player, it works fine, but when I imported the entire swf file into After effects the main Flash animation shows up but the "nested animation" is missing.
You're not doing anything wrong. AE just doesn't know how to understand the data from a nested clip.
You could try tracking your MCs as graphics instead of movieclips. This can help if the nature of your animation is not bound by loops or code. You probably wont get the exact animation you get with using movieclips, but it's a start.