Try this, put the .psd file on your desktop, then drag it to the Motion composition window, and hold it there, not releasing the mouse button until a few seconds when a window pops up to offer choices about the layers.
The other question is, are you somehow flattening the PSD when you are saving it in Photoshop, without knowing it? Is the "keep layers" box checked in the save dialog? We sometimes speed thru dialog boxes without really noticing what we are doing because we just expect everything to be what we wanted. You can do it right, or you can do it over:-)