I have found that STEP is the best format to use for importing/exporting in Pro/E. IGES works for the most part, but you have to be careful with small rounds and planar surfaces. As with any translated file (native CAD to STEP) you lose all parametric association to the features; you're basically left with a solid block. Solid Edge has a feature recognizer utility that will make an assumption of certain features (holes and rounds particularly) and make them parametric when it imports neutral file formats.