It looks like the images you imported were on an external server, or the location is jailed to your XenForo installation, or your VW3 installation is owned by a different FTP user that is not readable by XenForo. In any of these cases, it is not possible to access the original file-data of the images, unless the original images were stored in the database.
In the case of an external import from VW3, the old attachments directory must be copied to a directory that is accessible to XenForo, and the new directory must be set as the attachment path in the config file.
In all my import tests, the problem of importing 0 size images does not occur when the paths are accessible.