I can confirm this. This happens due to problems with decoding of video encoded by Action! (or PRO EX). Some decoders have strange problems with such streams, and Sony Vegas has one of them (btw, it have one of the worst AVC decoders I've ever seen. E.g. it so slow that it can't decode 1080p@60fps in realtime, while any other decoder could decode it at 300 fps (or 5 streams at the same time!). Also it doesn't support lossless AVC video).
For some reason it thinks that file is 60 fps interlaced: http://2.firepic.org/2/images/2011-11/17/b8e89r4lqao2.png
But in reality it is 29,97 fps progressive: http://2.firepic.org/2/images/2011-11/17/9xmgayh4y7b5.png
Video rendered from source file (just opening exported .mp4 in Vegas): http://www.mediafire.com/?icnk8186axgm0ti
Video rendering using method below: http://www.mediafire.com/?373mre1hk9tpwsp

There is workaround - to use external decoder. But it is not easy.

So... You will need Avisynth, ffmpegsource decoder and ffdshow. If you are using 64-bit Vegas - all components must be 64-bit. If 32 - they must be 32-bit.
Downloads:
http://avisynth.org/mediawiki/Main_Page
http://sourceforge.net/projects/ffdshow-tryout/files/SVN%20builds%20by%20clsid/
http://code.google.com/p/ffmpegsource/downloads/list

In ffdshow installer option "AviSynth script serving" should be checked, "AviSynth" in "Application plugins" too.
ffms should be unpacked to C:\Program Files (x86)\AviSynth 2.5\plugins (or C:\Program Files (x86)\AviSynth 2.5\plugins64 if it 64-bit).

Now, move exported video file to some folder (I had problems with long path like "C:\Users\...") and rename it (I also had prolems with defaul file name, due to spaces and maybe brackets).
Now create some text file and write in it:
[code]A = FFAudioSource("name_of_your_video.mp4")
V = FFVideoSource("name_of_your_video.mp4")
AudioDub(V, A)[/code][url]http://2.firepic.org/2/images/2011-11/17/h75th4ht0hih.png[/url]
Then rename this file to .avs (e.g. 1.avs, or any other name).
Then find makeAVIS tool in ffdshow folder (or just type it's name in Start menu). Choose your .avs file, then press "Create" button. Small .avi file will be created.
http://2.firepic.org/2/images/2011-11/17/u6m0gdlfpox3.png
It's "dummy avi" - any program will think that this file contain uncompressed video and audio.

Now you can open this file in Sony Vegas. Don't delete any files until you are done with your video. If you need to move video file it may be necessary to recreate dummy avi...

And don't forget to check project fps, since even if video is recorded in 60 fps, it would be exported in 29,97 fps :(

As I know mirillis is planing to release external decoder in future, that would allow working with recorded video without quality loss and other problems...