A design issue. The Jpeg is treated as a sidecar and ignored. Do a batch rename adding another letter or number to the Jpeg and Import it "At Current Location" and they will come in.
Thanks for clarifying what's going on. It certainly seems to be an interesting design choice - this ignoring of images somewhat arbitrarily. It wouldn't be so bad if I had no JPG versions of the CR2 files, but unfortunately my 400D has a major downside to that option (larger CR2 files), so it's not a good solution.
The funny thing is, I have discovered that if I do a manual import, I can get both the JPG and CR2 files in one go. It's a relatively minor extra step, but I wish that I needn't resort to this.