I believe you need to convert to illustrator paths in Photoshop first, then open as an illustrator file and save to Illustrator version 9. Then you can import the paths to C4D and they will all be there.
So, select your objects in Photoshop, then right click and select “make work path”
Then go to the “paths” window and select that path and then go to export>paths to illustrator and save.
Then you need to go to that Illustrator file and open it. You need to re-save that very same file to a much later version of Illustrator for this to work! When the save dialogue window comes up, SAVE AS ILLUSTRATOR VERSION 9. This is critical because C4D will NOT read any Illustrator version past 9.
Then you can just drag into C4D and have your way with them.