Hello,
I'm using Sony Vegas Pro 11 and I have a problem when I insert a transition between videos: not always the transition is applied on both videos, and most time the transition is applied just on one of the two videos.
I had a similar problem with Sony Vegas Pro 10, and I never was able to find a solution.
The transition I'm trying to apply is called "Sony Cross effect" --> "Default" and/or "Slow cross zoom A/B". I just simply drag the effect to the junction of both videos, and when the effect's window is open I select "blur" and "both [sides]".