For what it's worth, I had problems importing into WP from Movable Type. All the tags were lost too.
The WP importer for MT (version 2.9.2) will import keywords as tags, but ignores anything listed under tags. So, I took AntonyF's idea and created an MT template to mimic MT's export format. I changed the output for keywords to be the same as for tags. After creating and publishing the MT template, I imported it with WP importer for MT and all my tags showed up.
MT Template to Export:
<mt:Entries lastn="2000" sort_order="ascend">
AUTHOR: <$MTEntryAuthor strip_linefeeds="1"$>
TITLE: <$MTEntryTitle strip_linefeeds="1"$>
BASENAME: <$MTEntryBasename$>
STATUS: <$MTEntryStatus strip_linefeeds="1"$>
ALLOW COMMENTS: <$MTEntryFlag flag="allow_comments"$>
CONVERT BREAKS: <$MTEntryFlag flag="convert_breaks"$>
ALLOW PINGS: <$MTEntryFlag flag="allow_pings"$><MTIfNonEmpty tag="MTEntryCategory">
PRIMARY CATEGORY: <$MTEntryCategory$></MTIfNonEmpty><MTEntryCategories>
CATEGORY: <$MTCategoryLabel$></MTEntryCategories>
DATE: <$MTEntryDate format="%m/%d/%Y %I:%M:%S %p"$><MTEntryIfTagged>
TAGS: <MTEntryTags include_private="1" glue=","><$MTTagName quote="1"$></MTEntryTags></MTEntryIfTagged>
-----
BODY:
<$MTEntryBody convert_breaks="0"$>
-----
EXTENDED BODY:
<$MTEntryMore convert_breaks="0"$>
-----
EXCERPT:
<$MTEntryExcerpt no_generate="1" convert_breaks="0"$>
-----
KEYWORDS:
<MTEntryIfTagged><MTEntryTags include_private="1" glue=","><$MTTagName quote="1"$></MTEntryTags></MTEntryIfTagged>
-----
<MTComments>
COMMENT:
AUTHOR: <$MTCommentAuthor strip_linefeeds="1"$>
EMAIL: <$MTCommentEmail strip_linefeeds="1"$>
IP: <$MTCommentIP strip_linefeeds="1"$>
URL: <$MTCommentURL strip_linefeeds="1"$>
DATE: <$MTCommentDate format="%m/%d/%Y %I:%M:%S %p"$>
<$MTCommentBody convert_breaks="0"$>
-----
</MTComments>
<MTPings>
PING:
TITLE: <$MTPingTitle strip_linefeeds="1"$>
URL: <$MTPingURL strip_linefeeds="1"$>
IP: <$MTPingIP strip_linefeeds="1"$>
BLOG NAME: <$MTPingBlogName strip_linefeeds="1"$>
DATE: <$MTPingDate format="%m/%d/%Y %I:%M:%S %p"$>
<$MTPingExcerpt$>
-----
</MTPings>
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</mt:Entries>