You would think so. Though support for file formats usually takes some time and often is locked down early in the development of a program. CS2 came out about 7 months before X3, but possibly by then Corel had already locked down their import filters.

On the other hand, since there are problems, you'd think they'd improve the importing with one of their updates. Come to think of it, I haven't tried importing any native Illustrator CS2 files into X3 since the latest update to X3 a few weeks ago, so it's always possible that they did fix it. I guess I should test that.