I had the same problem when importing from OE6 into Outlook 2003, i.e.
not all messages had been imported from some OE folders (each OE
folder is a dbx file). Those dbx files were somehow damaged (it
happens when OE shuts down improperly because of an error in the
program or irregular shutdown or restart of the Windows, especially if
you have a lot of messages in a folder).

I checked the damaged OE folders in the following way:
(1) I compacted all OE folders: File - Folder - Compact All Folders.
(For the Inbox, Outbox and Sent Items folders OE may report that the
folder cannot be compacted as it is in use. Make sure that OE is not
receiving or sending mail.)
(2) I walked through all messages in damaged folders while the
preview pane was opened. For each incorrect message in a folder the
following error was shown in the preview pane:
"Message has not been downloaded
Outlook Express has not yet downloaded this message"
I deleted such messages.
(3) I compacted all OE folders again.

After that the import from OE6 into Outlook 2003 was successful.

-- rpr.