I will assume that you used the Pro/E plugin to export out an xml file, which you then imported into VHarness. For you to be able to import wires from this xml file, you will have checked the "Export wires" box in the export dialog of the Pro/E plugin. If you did this, and you are thus describing the result, it looks prima facie a VHarness defect. Please submit the Pro/E model with wires in an already routed state, and let us know the release and datacode.
But we recommend a better flow: When you export the xml from the Pro/E dialog, do not check the "Export wires" box. Import the harness description into VHarness, and then do a Synchronize to bring the wires over from VDesign to VHarness. The advantage in doing this is that all the the attributes and properties you had created on the wires in VDesign will come over into VHarness being that they use the same database. For Pro/E, however, we export out the bare minimum that is required by Pro/E to route wires end to end, and consequently it lacks all the properties you might have created in VDesign, and so no real point in exporting them out from Pro/E.