I have had the same problem using my Sony HDR-HC1E Camera with Premier Pro CS3 if it is used in HD. That particular camera is not mentioned in the ‘supported’ camera information either. A capture preview is available in SD only. This is the same in CS4. I understand that Adobe might address this problem in later varients of Premier.
Although there may be no preview the content is still recorded and can be previewed through the Camera monitor as a stop-gap solution.
In the meantime and in frustration, I loaded up a trial of Sony Vegas V.9 which does show my camera by name and shows a capture preview with no problem