As far as I know not all MP4 files are supported by Vegas Pro, but some special .mp4, such as .mp4 (avc video codec, aac audio codec) videos.The reason of the error mostly lays in the video format codec parameters.
You can try to install some codecs. Whereas, it's not easy to install just proper codecs you need; all kinds of components would be installed blindly in usual, and many of which are not compatible with each other. To get rid of the issue, converting MP4 to Sony Vegas Pro compatible video like MPEG-2 is an alternative solution – it seems to be much easier and more effective.
http://www.brorsoft.com/how-to/open-mp4-in-sony-vegas-pro.html
