First of all, thank you very much for taking the time to write! :^)
Importing mailboxes does just that it imports the mail that is stored but not the rules or preferences. These are stored in specific files inside your "Mail" folder as well as in the "com.apple.mail.plist" preferences file. You might need to migrate these as well.
Of course, the easiest way to go is to use your "Panther" mail folder and preferences file and to launch the Tiger Mail on top of that. I wouldn't recommend it as this can lead to other issues but has worked very well for many users including me during my tests.