I'm kind of "turned-around here" after trying to figure this out for too long.
I'll go from Vegas with a rendered avi clip into PI, then back again.
My new PI'd clip is a slightly smaller image than the original (in the neighboring track, on the timeline).
The PI'd image is surrounded by a thin black frame, within the frame.
It looks like I'm "zoomed out" when rendered in PI.
It seems I'm missing something "basic", here.
What are your project settings in Vegas before you export? This is a bit of a guess, but if it's a DV or broadcast project, then the pixel aspect ratio would be set to 0.9. Since pI only writes square pixels, the pIed clip may end up being wider than the Vegas project settings.
So the solution would be to go into the clip's Properties in Vegas and change the pixel aspect ratio, or export the clip from Vegas with square pixels in the future before you do any pI work on it.