Once there was a promise to allow import SVG, but it never made it in a released version of Captivate 
My workaround is to import the Illustrator image as a smart object in Photoshop and Photoshop images can be imported (will be converted to bitmap). If you have Photoshop, you'll have roundtripping and you'll be able to edit the source file. I prefer that work flow to saving the Illustrator image directly in a bitmap format.
Of course I support Rick's suggestion to file a feature request, would love to see the import functionality for an Illustrator image (or SVG) and with roundtripping to the source file of course.
You will be able to apply Effects to the imported image. Text can be added using containers like captions or smart shapes. But you'll not be able to add Effects to parts of the image.
Lilybiri