You can import an image sequence as a single file. File -> Import -> Media, look for the first frame in your export and select it. Before you click open check the “Open sequence” box and it will import it as an animation. Press Open and then Vegas should open the Properties for that media – here you can check if the frame rate, alpha channel, color space, etc. matches your export. If it doesn’t simply change the values. Alpha channel should likely be set to “Straight” in your case – depends on export settings.
There are some file types that aren’t supported by Vegas Pro, but you can check if you’ve enabled the QuickTime plugin which fixes some conflicts: Options -> Preferences -> Deprecated Features -> Enable the QuickTime plugin. If it doesn’t show up, you might have to install it, restart, enable it and try your files again.