Yes, address book importing is shaky in Thunderbird.
I was able to export addresses in my old email application, but could not directly import. I opened the exported files in notepad and found that the info was readable there. I then had to manually re-enter the data I saw in notepad into Thunderbird, one at a time.
Not fun, but a lot more fun than Live Mail.
Unless you have a jillion email addresses to transfer, I'd cut my losses, go back to Tbird, and give up on Live Mail, which I found very aggravating. I endured it for less than a month.