I went from OE to WLM maybe 18 months ago, and gave up on WLM within weeks. I do recall major issues in getting mail imported, but I did get it done---although I can't recall how. I changed to Thunderbird and have not looked back or regretted it. It can be configured to very much resemble OE.
It's a matter of the mail file formats being incompatible. Maybe you can extract DBX files to some type of neutral format and then import that neutral format more easily into WLM? But it's common for direct export/import via built-in tools to be a major pain.
You can't be the first person to have issues and there may in fact be a tutorial on it somewhere on this site. Other than that, all I can suggest is to pound Google.