Try to convert it first with Avidemux, i have the same problem the video HD PVR Rocket can't be use with Sony vegas.
Just download Avidemux http://fixounet.free.fr/avidemux/
Video Output
Mpeg4 AVC (x264)
in configure :
Encoding mode : average bitrate two pass 3000
Audio Acc (facc)
Output format
MP4
i still work on the same problem
by the way never power up you "HD PVR Rocket" from the usb of the console use a USB charger
Third image down on the left. It's a laptop on the box, but the product is for desktop PC's. Nice work!