Guillaume Jeffrey
Just tested in CC2015 with CR2 files and it is working fine here.
Are you using the latest version? To make sure, just download the “Open Stills in Graphic Editor.dll” once again. The date modified should be May 09, 2016, 11:45:36 AM. I’ve made quite a few changes and you may not be using the latest version.
Once the take is added to the timeline, you say the extension is still .cr2. Select that take file in the Project media list. On the bottom of the project media, does it say Microsoft or JPG?
And finally, could you give me an example of an actual filename you are using?
wwaag