Unfortuantely I am not a user of Sony Vegas, but I hate to see a post go unanswered.
It is not sufficient for your movie to be an AVI, it has to be a DV Type 1 encoded AVI file before it will go back to your camera.
Unfortunately I don't know how to instruct you on this in Vegas, but I assume that there is a setting somewhere that will do the trick.
Hope that is of some use.
COMPAQ something or other with 500Gb Boot Disk, 1Tb external Firewire Disk, 4Gb Memory and a super duper sound card, 19" TFT Monitor etc etc etc
Sony TRV33e : Sony TRV310e : Canon XM2
Sony Vegas Studio editions to v11
Remember, there is always more to learn than there is to teach.