I was under the impression that .mp4 was a protected file type used by iTunes for their music. But if Sony Vegas 7 doesn't support it, it doesn't support it. I've got Vegas Pro 8 though, and so far every video file type I've fed into it has shown up in my project media with no problems. It chugs through .flv files even when my computer occasionally skips while playing them.
Don't give up hope though, Eugen! Sony Vegas in every incarnation is an extremely fun program.