It is possible to import Catia models into pro/e however a simple script that is supplied with proe will need to be run on the same machine that catia is on. The script is called proe_to_cat.bat or proe_to_cat4.bat.

See your help file on what you need to do to directly import catia models (under pro/interface I think).

At the moment I import from catia using IGES but this gives me dumb models.

The answer to your second question is no. you will have to export your drawing to IGES or another neutral format for catia to read it.

Hope this is of some help

If you want to be able to work with the model (change features, dimensions, etc), there are a couple of file translation options that preserve full model history, enabling such a thing.  www.translationtech.com is a translator I have used a couple of times, and been very pleased with the results.

So, I divide my translations into two categories:
1.  When I need to be able to modify the resulting geometry, I use a native file translator, like the one mentioned above.
2.  When I only need a solid for packaging or insertion into another part, I use a neutral format (STEP is preferred, but IGES works).

Recneps