I hope i understand you correctly here, do you mean that when you bring a swf file into AE it does not have the filter effects applied to them or the animated movieclip does not animate? (I guess it's the second)
One wee program I use sometimes is called SWFtoAVI, which allows you to render a swf file to an avi file and keep all the effects and symbol animations. It basically goes through the swf file frame by frame and converts each frome into a hi res image (or whatever res you specify) and then converts the sequence of images into an AVI file.
(I am not sur ehow it deals with action scripted special effects but I assume it should work)
The resulting avi file is pretty damn big (100s of mbs, even a gig sometimes depending on your resolution and output settings) but from what I have seen it retains the quality 99% of the time and looks sharp.
Its a free program too which is cool.
Check it out. It will allow you to retain all MC animations.
http://www.avi-swf-convert.com/(there are plenty of swf-avi converters but this one above is the only free one)
(oh and did you get my PM

)